Covariance Analysis, Positivity and the Yakubovich-Kalman-Popov Lemma
This paper presents theory and algorithms for covariance analysis and stochastic realization without any minimality condition imposed. Also without any minimality conditions, we show that several properties of covariance factorization and positive realness hold. The results are significant for validation in system identification of state-space models from finite input-output sequences. Using the R