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

0410635 20240111140635.820060210235959.9 An evaluation of algorithms for computing the covariance function of a multivariable ARMA process Porto EUCA 2001 CD-ROM Proceedings of the European Control Conference 2001 stochastic systems covariance function polynomial algorithm cav_un_auth*0212201 Söderström T. SE cav_un_auth*0021057 Šebek M. CZ cav_un_auth*0101116 Ježek Jan UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0021094 Kučera V. CZ cav_un_auth*0101104 Henrion Didier UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. 117 kB 09I LN00B096 GA MŠk cav_un_auth*0027922 AV0Z1075907 Computation of an ARMA covariance function is a commoningredient in analysis and synthesis of various problems in stochastic control, estimation 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. Further, it shows good numerical robustness and applies to multivariable ARMA processes, even with complex-valued coefficients. cav_un_auth*0212810 European Control Conference. ECC 2001 Porto PT 04.09.2001-07.09.2001 BC TŘ http://hdl.handle.net/11104/0130724 UTIA-B 20010104 2001 2001 Porto EUCA 117 kB Proceedings of the European Control Conference 2001