Aspects of Fisher geometry for stochastic
Institute for Econometrics, Operations Research and System Theory
Technical University of Vienna Argentinierstr. 8/119
Department of Mathematics
P.O. Box 616, 6200 MD Maastricht
1 DESCRIPTION OF THE PROBLEM
Consider the space S of stable minimum phase systems in discrete-time, of order (McMillan degree) n, having m inputs and m outputs, driven by a stationary Gaussian white noise (innovations) process of zero mean and covariance . This space is often considered, for instance in system identification, to characterize ...