Title :
Construction of linear predictors for stationary vector sequences
fDate :
2/1/1990 12:00:00 AM
Abstract :
The class of all linear predictors of minimal order for a stationary vector-valued process is specified in terms of linear transformations on the associated Hankel covariance matrix. Two particular transformations, yielding computationally efficient construction schemes, are proposed
Keywords :
filtering and prediction theory; matrix algebra; Hankel covariance matrix; linear predictors; linear transformations; stationary vector sequences; Automatic control; Circuits; Control systems; Digital control; Digital filters; Nonlinear filters; Signal processing; Speech processing; System analysis and design; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
