Abstract
The dependence of future outputs on past inputs in a stochastic system is investigated by means of the canonical correlation analysis. In particular a classification of minimal stochastic realizations of a given process with respect to the information transmitted from past inputs to future outputs is presented. The results are then rephrased in terms of certain block-Hankel matrices and their relevance for the Hankel-norm approximation of stochastic systems is discussed.
Original language | English (US) |
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Pages (from-to) | 209-215 |
Number of pages | 7 |
Journal | Systems and Control Letters |
Volume | 4 |
Issue number | 4 |
DOIs | |
State | Published - Jun 1984 |
Keywords
- Amount of information
- Canonical correlation coefficients
- Hankel matrices
- Hankel-norm approximation
- Minimal stochastic realization
ASJC Scopus subject areas
- Control and Systems Engineering
- General Computer Science
- Mechanical Engineering
- Electrical and Electronic Engineering