A Note on the Smallest Eigenvalue of the Empirical Covariance of Causal Gaussian Processes

Ingvar Max Ziemann. A Note on the Smallest Eigenvalue of the Empirical Covariance of Causal Gaussian Processes. IEEE Trans. Automat. Contr., 69(2):1372-1376, February 2024. [doi]

Abstract

Abstract is missing.