  Some twenty years ago we introduced a nonstandard matrix Riccati equation to
solve the partial stochastic realization problem. In this paper we provide a
new derivation of this equation in the context of system identification. This
allows us to show that the nonstandard matrix Riccati equation is universal in
the sense that it can be used to solve more general analytic interpolation
problems by only changing certain parameters. Such interpolation problems are
ubiquitous in systems and control. In this context we also discuss a question
posed by R.E. Kalman in beginning of the 1970s.
