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文章基本信息

  • 标题:On dynamic network modeling of stationary multivariate processes
  • 本地全文:下载
  • 作者:Giulio Bottegal ; Alessandro Chiuso ; Paul M.J. Van den Hof
  • 期刊名称:IFAC PapersOnLine
  • 印刷版ISSN:2405-8963
  • 出版年度:2018
  • 卷号:51
  • 期号:15
  • 页码:850-855
  • DOI:10.1016/j.ifacol.2018.09.118
  • 语种:English
  • 出版社:Elsevier
  • 摘要:AbstractWe study the modeling of a stationary multivariate stochastic process as the output of a dynamic network driven by white noise. When this noise corresponds to the innovation, i.e. the unpredictable part of the process, we show that the network satisfies certain stability conditions. Restricting the network model to having diagonal noise structure, we show that the innovation-driven representation is unique and internally stable. We provide a one-to-one correspondence between this representation and the spectral factor associated with the innovation model. For two-node networks, we show that a representation with diagonal noise model can be obtained from a generic one through an explicit map.
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