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Identification and filtering

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Abstract

A theory of the discrete Riccati equation asymptotic behavior for a degenerate filtering problem corresponding to prediction. As an application, ARMA identification is shown to be determined from the asymptotic behavior of the reflection coefficients. Explicitly the time constants of the reflection coefficient sequence determine the moving average portion of the process. This work completes earlier work of the author on “invariant directions” of the Riccati equation.

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Authors and Affiliations

  1. Aerospace Engineering and Mathematics Departments, University of Southern California, Olin Hall 300-F, Los Angeles, California, USA

    R. S. Bucy

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  1. R. S. Bucy
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The University of Southern California, Los Angeles, California 90089-1445, and Consultant TRW, Redondo Beach, California 90278.

This research was supported in part by TRW.

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Bucy, R.S. Identification and filtering. Math. Systems Theory 16, 307–317 (1983). https://doi.org/10.1007/BF01744585

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  • DOI: https://doi.org/10.1007/BF01744585

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