Modeling and Estimation of Multivariate Discrete and Continuous Time Stationary Processes
In this paper, we give an autoregressive model of order 1 type of characterization covering all multivariate strictly stationary processes indexed by the set of integers. Consequently, under square integrability, we derive continuous time algebraic Riccati equations for the parameter matrix of the c...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2020-09-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
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| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2020.00043/full |