Title :
Stochastic Realization and Reduction of Processes Generated by Time Invariant Linear Systems
Author_Institution :
Department of Electronic Systems, School of Engineering, Tel-Aviv University
Abstract :
The realization problem is approached by assuming that the observed process is generated by a time invariant, possibly nonstationary linear system with noisy measurements. The proposed approach suggests a simple method for reduced order representation.
Keywords :
Additive noise; Linear systems; Noise generators; Noise measurement; Singular value decomposition; Stochastic processes; Stochastic systems; Systems engineering and theory; Time measurement; Writing;
Conference_Titel :
American Control Conference, 1982
Conference_Location :
Arlington, VA, USA
