Abstract
Based on the theory of Gauss Markov representation established by FAURRE [4], and on a new theorem about the inverse of the spectrum of the signal process, a new algorithm is proposed, using frequency methods, but which does not appeal to classical spectral factorization, nor to any algebraic Riccati equation.
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Keywords
- Riccati Equation
- Algebraic Riccati Equation
- Noise Covariance Matrix
- Realization Algorithm
- Mathematical System Theory
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Bibliography
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© 1975 Springer-Verlag Berlin Heidelberg
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Bernhard, P., Benveniste, A., Cohen, G., Chatelon, J. (1975). A new algorithm for Gauss Markov identification. In: Marchuk, G.I. (eds) Optimization Techniques IFIP Technical Conference Novosibirsk, July 1–7, 1974. Optimization Techniques 1974. Lecture Notes in Computer Science, vol 27. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-07165-2_4
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DOI: https://doi.org/10.1007/3-540-07165-2_4
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