Innovation Models in a Stochastic System Represented by an Input-Output Model
Summary :
A stochastic system represented by an input-output model can be described by mainly two different types of state space representation. Corresponding to state space representations innovation models are examined. The relationship between both representations is made clear systematically. An easy transformation between them is presented. Zeros of innovation models are the same as those of an ARMA model which is stochastically equivalent to innovation models, and related to stable eigenvalues of generalized eigenvalue problem of matrix Riccati equation.
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- IEICE TRANSACTIONS on Fundamentals Vol.E77-A No.8 pp.1337-1344
- Publication Date
- 1994/08/25
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- Special Section PAPER (Special Section on Information Theory and Its Applications)
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Kuniharu KISHIDA, "Innovation Models in a Stochastic System Represented by an Input-Output Model" in IEICE TRANSACTIONS on Fundamentals,
vol. E77-A, no. 8, pp. 1337-1344, August 1994, doi: .
Abstract: A stochastic system represented by an input-output model can be described by mainly two different types of state space representation. Corresponding to state space representations innovation models are examined. The relationship between both representations is made clear systematically. An easy transformation between them is presented. Zeros of innovation models are the same as those of an ARMA model which is stochastically equivalent to innovation models, and related to stable eigenvalues of generalized eigenvalue problem of matrix Riccati equation.
URL: https://global.ieice.org/en_transactions/fundamentals/10.1587/e77-a_8_1337/_p
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@ARTICLE{e77-a_8_1337,
author={Kuniharu KISHIDA, },
journal={IEICE TRANSACTIONS on Fundamentals},
title={Innovation Models in a Stochastic System Represented by an Input-Output Model},
year={1994},
volume={E77-A},
number={8},
pages={1337-1344},
abstract={A stochastic system represented by an input-output model can be described by mainly two different types of state space representation. Corresponding to state space representations innovation models are examined. The relationship between both representations is made clear systematically. An easy transformation between them is presented. Zeros of innovation models are the same as those of an ARMA model which is stochastically equivalent to innovation models, and related to stable eigenvalues of generalized eigenvalue problem of matrix Riccati equation.},
keywords={},
doi={},
ISSN={},
month={August},}
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TY - JOUR
TI - Innovation Models in a Stochastic System Represented by an Input-Output Model
T2 - IEICE TRANSACTIONS on Fundamentals
SP - 1337
EP - 1344
AU - Kuniharu KISHIDA
PY - 1994
DO -
JO - IEICE TRANSACTIONS on Fundamentals
SN -
VL - E77-A
IS - 8
JA - IEICE TRANSACTIONS on Fundamentals
Y1 - August 1994
AB - A stochastic system represented by an input-output model can be described by mainly two different types of state space representation. Corresponding to state space representations innovation models are examined. The relationship between both representations is made clear systematically. An easy transformation between them is presented. Zeros of innovation models are the same as those of an ARMA model which is stochastically equivalent to innovation models, and related to stable eigenvalues of generalized eigenvalue problem of matrix Riccati equation.
ER -
English
