EFFICIENT COMPUTATION OF THE MULTIVARIATE SYSTEM CHARACTERISTICS

Abstract

In this paper, we propose a simple and computationally efficient method for computation of the transfer function and other characteristics of the multivariate systems. Multivariate systems are described by autoregressive moving-average (ARMA) equations. The fast Fourier transform algorithm is applied. The method is highly suitable for computer realization. An example of the multivariate system with two inputs and two outputs is provided to demonstrate the efficiency of the proposed method. The method may be extended to multidimensional systems described by the ARMA equations.