Stochastic Realization on a Finite Interval via “lq Decomposition” in Hilbert Space
نویسندگان
چکیده
In this paper, we consider a stochastic realization problem with finite covariance data based on “LQ decomposition” in a Hilbert space, and re-derive a non-stationary finite-interval realization ([4, 5]). We develop a new algorithm of computing system matrices of the finiteinterval realization by LQ decomposition, followed by the SVD of a certain block matrix. Also, a stochastic subspace identification based on a finite time-series data is briefly discussed.
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