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An evaluation of algorithms for computing the covariance function of a multivariable ARMA process
- 1.0410874 - UTIA-B 20020088 RIV FR eng J - Journal Article
Söderström, T. - Šebek, M. - Ježek, Jan - Kučera, V. - Henrion, Didier
An evaluation of algorithms for computing the covariance function of a multivariable ARMA process.
European Journal of Control. Roč. 8, č. 4 (2002), s. 315-325. ISSN 0947-3580. E-ISSN 1435-5671
R&D Projects: GA AV ČR KSK1019101; GA MŠMT ME 427
Institutional research plan: CEZ:AV0Z1075907
Keywords : linear equations * polynomial approach * diophantine equations
Subject RIV: BC - Control Systems Theory
Impact factor: 0.542, year: 2002
Computational of an ARMA covariance function is a common ingredient in analysis of various problems in stochastic control, estimastion 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.
Permanent Link: http://hdl.handle.net/11104/0130961
Number of the records: 1