An innovations approach to the discrete-time stochastic realization problem

Gevers, Michel;Wouters, W.R.E.
(1978) Journal “A — Vol. 19, n° 2, p. 90-110 (1978)

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  • Gevers, MichelUCLouvain
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  • Wouters, W.R.E.
    Author
Abstract
In this paper the authors use results to compute finite state-space or auto-regressive moving average (ARMA) models for finite-dimensional stationary discrete time processes whose covariance is given. The reason for computing such models is that the predictor formulas become finitely recursive.
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Gevers, M., & Wouters, W. R. E. (1978). An innovations approach to the discrete-time stochastic realization problem. Journal “A, 19(2), 90-110. https://hdl.handle.net/2078.5/54993 (Original work published 1978)