Stochastic Realization Theory

The use of state-space models for modelling and processing of random signals was introduced by Kalman at the very beginning of the history of System Theory. Although spectacular successes have emerged from the introduction of these models (Kalman filtering to name just one), until quite recently there has not been any serious effort of putting together in a logically consistent way a theory of modelling and model representation in the stochastic frame. Expanding applications to diverse fields like Econometrics etc. and a multitude of nonstandard estimation problems arising in engineering applications seem now to render the need for such a theory more urgent.

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