A Note on an Algorithm by J. Rissanen
B. R. Dye · SIAM Journal on Control and Optimization · 1977
An adaption is made to a well-known algorithm for calculating the realization of a sequence of matrices in order to allow more than one calculation of the realization to be made. A mean realization can then be obtained. A particular class of sequences is defined and then shown to be the most suitable for the adapted algorithm to use.