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Subspace angles between ARMA models. (English) Zbl 0994.93057

Summary: We define a notion of subspace angles between two linear, autoregressive moving average, single-input–single-output models by considering the principal angles between subspaces that are derived from these models. We show how a recently defined metric for these models, which is based on their cepstra, relates to the subspace angles between the models.

MSC:

93E03 Stochastic systems in control theory (general)
93B27 Geometric methods
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