Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

An evaluation of algorithms for computing the covariance function of a multivariable ARMA process

Söderström T., Šebek M., Ježek Jan, Kučera V., Henrion Didier

: Proceedings of the European Control Conference 2001

: EUCA, (Porto 2001)

: European Control Conference. ECC 2001, (Porto, PT, 04.09.2001-07.09.2001)

: AV0Z1075907

: LN00B096, GA MŠk

: stochastic systems, covariance function, polynomial algorithm

(eng): Computation of an ARMA covariance function is a commoningredient in analysis and synthesis of various problems in stochastic control, estimation and signal processing. In this paper, we present an algorithm based on simple polynomial calculations. Compared to alternative strategies, its computational load increases slowly with the order of the process. Further, it shows good numerical robustness and applies to multivariable ARMA processes, even with complex-valued coefficients.

: 09I

: BC

2019-01-07 08:39