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

0410874 20250619110851.820060210235959.9 An evaluation of algorithms for computing the covariance function of a multivariable ARMA process 11 s. cav_un_epca*02559050947-3580European Journal of Control84 (2002)315-325Elsevier linear equations polynomial approach diophantine equations 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. 09I KSK1019101 GA AV ČR cav_un_auth*0000219 ME 427 GA MŠk cav_un_auth*0028532 CEZ:AV0Z1075907 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. BC TŘ http://hdl.handle.net/11104/0130961 UTIA-B 20020088 2002 cav_un_epca*0255905 European Journal of Control 0947-3580 1435-5671 Roč. 8 č. 4 2002 315 325 Elsevier