ON THE SOLUTION OF THE COVARIANCE-MATRIX DIFFERENTIAL-EQUATION FOR SINGULAR SYSTEMS

Authors
SHAFIEE M RAZZAGHI M
Citation
M. Shafiee et M. Razzaghi, ON THE SOLUTION OF THE COVARIANCE-MATRIX DIFFERENTIAL-EQUATION FOR SINGULAR SYSTEMS, International journal of computer mathematics, 68(3-4), 1998, pp. 337-343
Citations number
5
Categorie Soggetti
Mathematics,Mathematics
Journal title
International journal of computer mathematics
ISSN journal
00207160 → ACNP
Volume
68
Issue
3-4
Year of publication
1998
Pages
337 - 343
Database
ISI
SICI code
Abstract
State space formulation for singular linear stationary random inputs a re presented. A covariance matrix differential equation is derived and a new technique for solving this equation using Kronecker product is included. An example is provided to illustrate the applicability of th e proposed method.