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

0410635 - UTIA-B 20010104 RIV PT eng C - Conference Paper (international conference)
Söderström, T. - Šebek, M. - Ježek, Jan - Kučera, V. - Henrion, Didier
An evaluation of algorithms for computing the covariance function of a multivariable ARMA process.
Porto: EUCA, 2001. In: Proceedings of the European Control Conference 2001.
[European Control Conference. ECC 2001. Porto (PT), 04.09.2001-07.09.2001]
R&D Projects: GA MŠMT LN00B096
Institutional research plan: AV0Z1075907
Keywords : stochastic systems * covariance function * polynomial algorithm
Subject RIV: BC - Control Systems Theory

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.
Permanent Link: http://hdl.handle.net/11104/0130724