Title :
Computation of additive decompositions of ARMA spectra
Author_Institution :
Technion--Israel Institute of Technology, Haifa, Israel
fDate :
10/1/1984 12:00:00 AM
Abstract :
The spectra of vector autoregressive moving-average processes are shown to yield certain additive decompositions. An algorithm for computing such decompositions is given. Contrary to some other methods, the proposed algorithm is based on purely rational operations. In particular, knowledge of the poles of the spectrum is not required.
Keywords :
Autoregressive moving-average processes; Covariance matrices; Adaptive control; Autoregressive processes; Convergence; Error correction; Parameter estimation; Predictive models; Programmable control; Random processes; State feedback; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1984.1103406
