Spectral Rank, Feedback, Causality and the Indirect Method for CARMA Identification
Dynamical Systems
2020-06-09 v2 Systems and Control
Systems and Control
Abstract
Building on a recent paper by Georgiou and Lindquist [1] on the problem of rank deficiency of spectral densities and hidden dynamical relations after sampling of continuous-time stochastic processes, this paper is devoted to understanding related questions of feedback and Granger causality that affect stability properties. This then naturally connects to CARMA identification, where we remark on certain oversights in the literature.
Cite
@article{arxiv.2004.02463,
title = {Spectral Rank, Feedback, Causality and the Indirect Method for CARMA Identification},
author = {Wenqi Cao and Anders Lindquist and Giorgio Picci},
journal= {arXiv preprint arXiv:2004.02463},
year = {2020}
}
Comments
7 pages, 2 figures