This paper considers the realization of discrete time multivariable second order processes in forward and backward state space form. Using the forward and backward factorization of the spectral density and the associated infinite moving average representation of the process, the construction of minimal order state space models in canonic forms are discussed, and the relationships between forward and backward canonic forms are shown. The extremal points of the set of all minimal order state-space realizations are also derived.
ASJC Scopus subject areas
- Modelling and Simulation
- Computational Theory and Mathematics
- Computational Mathematics