On Model Identification of Gaussian Reciprocal Processes from the Eigenstructure of their Covariances
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Authors
Borges, Carlos F.
Frezza, Ruggero
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Date of Issue
1993
Date
1993
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Language
en_US
Abstract
We present a numerical algorithm to reconstruct models of scalar Gaussian reciprocal processes from the eigenstructure of their covariances. This also fills a gap in the inverse eigenproblems for Jacobi matrices such as those given by [3, 8, 9] and others. Because of its properties the algorithm can be extended to other classes of matrices. We show its application to the important class of symmetric arrow matrices.
Type
Article
Description
Article co-written by Carlos F. Borges of the Naval Postgraduate School.
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Applied Mathematics
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Citation
Computation and Controll III: Proceedings of the Third Bozeman Conference, (J. Lund and K. Bowers, eds.), Progress in Systems and Control Theory, Birkhauser, (1993), pp. 63-72
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.