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Publications about 'innovations'
Articles in journal or book chapters
B.W. Dickinson and E.D. Sontag.
Dynamic realizations of sufficient sequences.
IEEE Trans. Inform. Theory,
Keyword(s): realization theory,
Let Ul, U2, ... be a sequence of observed random variables and (T1(U1),T2(Ul,U2),...) be a corresponding sequence of sufficient statistics (a sufficient sequence). Under certain regularity conditions, the sufficient sequence defines the input/output map of a time-varying, discrete-time nonlinear system. This system provides a recursive way of updating the sufficient statistic as new observations are made. Conditions are provided assuring that such a system evolves in a state space of minimal dimension. Several examples are provided to illustrate how this notion of dimensional minimality is related to other properties of sufficient sequences. The results can be used to verify the form of the minimum dimension (discrete-time) nonlinear filter associated with the autoregressive parameter estimation problem.
and E.D. Sontag.
Characterizing innovations realizations for random processes.
In this paper we are concerned with the theory of second order (linear) innovations for discrete random processes. We show that of existence of a finite dimensional linear filter realizing the mapping from a discrete random process to its innovations is equivalent to a certain semiiseparable structure of the covariance sequence of the process. We also show that existence of a finite dimensional realization (linear or nonlinear) of the mapping from a process to its innovations implies that the process have this serniseparable covariance sequence property. In particular, for a stationary random process, the spectral density function must be rational.
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