DocumentCode
837310
Title
Realization and reduction of Markovian models from nonstationary data
Author
Baram, Yoram
Author_Institution
Tel-Aviv University, Tel-Aviv, Isreal
Volume
26
Issue
6
fYear
1981
fDate
12/1/1981 12:00:00 AM
Firstpage
1225
Lastpage
1231
Abstract
The realization of Markovian models for nonstationary processes generated by time invariant linear systems is considered. A model is obtained by constructing an orthogonal finite-step predictor for the process. Optimal model approximation by order reduction is naturally defined in this framework. The construction and reduction of Markovian models from multiple data records and the numerical considerations involved are illustrated by examples.
Keywords
Linear systems, stochastic; Markov processes; Nonstationary stochastic processes; Realization theory; Stochastic systems, linear; Helium; Linear systems; Observability; Predictive models; Singular value decomposition; Stochastic processes; Stochastic resonance; Time invariant systems; Time varying systems; White noise;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1981.1102811
Filename
1102811
Link To Document