Hi, I have such a question about a system: x_(t+1)=3DA*x_t+w_t w_t is Gaussian noise. x_t is a R^6 column vector. The eigenvalues of A are: 0.9973=C2=B10.0730j, 0.9995=C2=B10.0324j, 0.9941=C2=B10.1081j I wonder what A could be. Regards,

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12/25/2016 12:38:08 AM

On Saturday, December 24, 2016 at 7:38:13 PM UTC-5, fl wrote: > Hi, >=20 > I have such a question about a system: >=20 > x_(t+1)=3DA*x_t+w_t >=20 >=20 > w_t is Gaussian noise. >=20 > x_t is a R^6 column vector. >=20 >=20 > The eigenvalues of A are: >=20 > 0.9973=C2=B10.0730j, 0.9995=C2=B10.0324j, 0.9941=C2=B10.1081j >=20 >=20 > I wonder what A could be. >=20 >=20 >=20 >=20 > Regards, Excuse me. I would add more info the my previous question. I find an equation used A in this way: Sigma_(t+1)=3DA*Sigma_t*A^T+W W is the co-variance matrix of w_t Sigma is the co-variance of x_t. After ignoring 0 eigenvalues, we can solve Sigma (if Sigma_(t+1)=20 converges to Sigma_t), and if we know W? Thanks,

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12/25/2016 12:45:47 AM