Reciprocal covariance solutions of some matrix differential equations

J. -P. Carmichael, J. -C. Massé and R. Theodorescu

Stochastic Processes and their Applications, 1991, vol. 37, issue 1, 45-60

Abstract: 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.

Date: 1991
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