COVARIANCE-MATRIX COMPUTATION OF THE STATE VARIABLE OF A STATIONARY GAUSSIAN PROCESS

[1] MARKOVIAN REPRESENTATION OF STOCHASTIC-PROCESSES AND ITS APPLICATION TO ANALYSIS OF AUTOREGRESSIVE MOVING AVERAGE PROCESSES [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1974, 26 (03) : 363 - 387

[2] Akaike H, 1976, SYSTEM IDENTIFICATIO, P27, DOI [10.1016/s0076-5392(08)60869-3, DOI 10.1016/S0076-5392(08)60869-3, 10.1016/S0076-5392(08)60869-3]

[3] AKAIKE H, 1979, 11 I STAT MATH COMP

[4] SEARCH PROCEDURE FOR OPTIMAL AR-MA ORDER [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1977, 29 (02) : 319 - 332

[5] SOME NEW ALGORITHMS FOR RECURSIVE ESTIMATION IN CONSTANT, LINEAR, DISCRETE-TIME SYSTEMS [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (04) : 315 - 323

[6] STABILITY, INSTABILITY AND PERIODICITY TESTS FOR LINEAR DISCRETE SYSTEMS [J]. AUTOMATICA, 1973, 9 (04) : 513 - 516

[1] MARKOVIAN REPRESENTATION OF STOCHASTIC-PROCESSES AND ITS APPLICATION TO ANALYSIS OF AUTOREGRESSIVE MOVING AVERAGE PROCESSES [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1974, 26 (03) : 363 - 387

[2] Akaike H, 1976, SYSTEM IDENTIFICATIO, P27, DOI [10.1016/s0076-5392(08)60869-3, DOI 10.1016/S0076-5392(08)60869-3, 10.1016/S0076-5392(08)60869-3]

[3] AKAIKE H, 1979, 11 I STAT MATH COMP

[4] SEARCH PROCEDURE FOR OPTIMAL AR-MA ORDER [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1977, 29 (02) : 319 - 332

[5] SOME NEW ALGORITHMS FOR RECURSIVE ESTIMATION IN CONSTANT, LINEAR, DISCRETE-TIME SYSTEMS [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (04) : 315 - 323

[6] STABILITY, INSTABILITY AND PERIODICITY TESTS FOR LINEAR DISCRETE SYSTEMS [J]. AUTOMATICA, 1973, 9 (04) : 513 - 516