Accession Number:

AD0722468

Title:

Stochastic Linear Models. (Modeles Stochastiques Lineaires),

Descriptive Note:

Corporate Author:

ECOLE NATIONALE SUPERIEURE DES MINES DE PARIS FONTAINEBLEAU (FRANCE) CENTRE D'AUTOMATIQUE

Personal Author(s):

Report Date:

1970-11-01

Pagination or Media Count:

55.0

Abstract:

External i.e. via covariances and internal i.e. via a Markov porcess descriptions of gaussian stochastic processes are explained. The canonical decomposition of stationary Markov processes in purely nondeterministic and purely deterministic parts is given and is shown to be closely related to the decomposition of a linear system in controllable and noncontrollable parts. Then an algorithm solving the positive real lemma giving a Markovian representation of a stochastic process is given. This algorithm is essentially a Riccati-type equation and is superior to classical factorization methods in the multi-dimensional case. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE