Bibliography

Journal Article

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

Söderström T., Šebek M., Ježek Jan, Kučera V., Henrion Didier

: European Journal of Control vol.8, 4 (2002), p. 315-325

: CEZ:AV0Z1075907

: KSK1019101, GA AV ČR, ME 427, GA MŠk

: linear equations, polynomial approach, diophantine equations

(eng): 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.

: 09I

: BC