An efficient and versatile algorithm for computing the covariance function of an ARMA process

• Computation of an ARMA covariance function is a common ingredient in analysis and synthesis of various problems in stochastic control, estimation, and signal processing, Several approaches can be used for this purpose. In this paper, we present an algorit

Nyckelord

ARMA process; covariance function; numerical algorithm; numerical robustness; polynomial algorithm; MATRIX

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