A utilization of properties of the discrete-time Riccati equation in stochastic realization theory |
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Authors: | F. A. Badawi |
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Affiliation: | (1) Department of Mathematical Sciences, University of Petroleum and Minerals, Dhahran, Saudi Arabia |
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Abstract: | The problem of generating families of wide-sense, stochastic realizations of a discrete-time stationary stochastic process is considered. To do this, it is known that a Riccati equation has to be solved. In this paper, the non-Riccati algorithm of Lindquist and Kailath is used to generate families of realizations, the state covariances of which are totally ordered. Finally, the property of constant directions which the discrete-time Riccati equation enjoys is utilized to obtain families of realizations, the state covariances of which have the same value in certain directions. |
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Keywords: | Stochastic realizations Riccati equation non-Riccati algorithm constant directions |
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