Identification and filtering

@article{Bucy1983IdentificationAF,
  title={Identification and filtering},
  author={Richard S. Bucy},
  journal={Mathematical systems theory},
  year={1983},
  volume={16},
  pages={307-317}
}
A theory of the discrete Riccati equation asymptotic behavior for a degenerate filtering problem corresponding to prediction. As an application, ARMA identification is shown to be determined from the asymptotic behavior of the reflection coefficients. Explicitly the time constants of the reflection coefficient sequence determine the moving average portion of the process. This work completes earlier work of the author on “invariant directions” of the Riccati equation. 

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Arma Identification 1 ' 2

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Realization of power spectra from partial covariance sequences

IEEE Trans. Acoustics, Speech, and Signal Processing • 1987

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