A canonical correlations approach to multiscale stochastic realization

Abstract

We develop a realization theory for a class of multiscale stochastic processes having white-noise driven, scale-recursive dynamics that are indexed by the nodes of a tree. Given the correlation structure of a 1-D or 2-D random process, our methods provide a systematic way to realize the given correlation as the finest scale of a multiscale process… (More)
DOI: 10.1109/9.956048

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