Reciprocal covariance solutions of some matrix differential equations

In this paper necessary and sufficient conditions are given for the solutions of certain homogeneous matrix differential equations with constant coefficients to be covariance matrix functions of a class of multivariate reciprocal stationary Gaussian processes. These conditions involve only the coefficients of the equations and the initial values. Several examples illustrate the results obtained.

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Year of publication:	1991
Authors:	Carmichael, J. -P. ; Massé, J. -C. ; Theodorescu, R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 37.1991, 1, p. 45-60
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875633