Forward and backward Markovian state space models of second order process

J. Bokor, M. Tanyi, Gy Terdik

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)21-29
Number of pages9
JournalComputers and Mathematics with Applications
Volume19
Issue number1
DOIs
Publication statusPublished - 1990

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Spectral density
State-space Model
Factorization
State Space
Extremal Point
Moving Average
Space Form
Spectral Density
Discrete-time
Form
Relationships

ASJC Scopus subject areas

  • Applied Mathematics
  • Computational Mathematics
  • Modelling and Simulation
  • Engineering(all)

Cite this

Forward and backward Markovian state space models of second order process. / Bokor, J.; Tanyi, M.; Terdik, Gy.

In: Computers and Mathematics with Applications, Vol. 19, No. 1, 1990, p. 21-29.

Research output: Contribution to journalArticle

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