Title :
Spectral analysis and analytic interpolation
Author :
Georgiou, Tryphon T.
Author_Institution :
Dept. of Electr. & Comput. Eng., Minnesota Univ., Minneapolis, MN, USA
Abstract :
Consider a stationary stochastic input driving a known linear filter and assume knowledge of the resulting covariance of the state vector. We are interested in characterizing all input spectra which are consistent with the given state-covariance. We first identify the dependance of the state covariance on the filter equations and then characterize all admissible input power spectra via solutions to a related analytic interpolation problem
Keywords :
Toeplitz matrices; covariance matrices; filtering theory; interpolation; spectral analysis; stochastic processes; Toeplitz matrix; analytic interpolation; discrete-time systems; filtering; spectral analysis; state vector; state-covariance matrix; stochastic process; Covariance matrix; Discrete transforms; Interpolation; Nonlinear filters; Radar imaging; Radar polarimetry; Spectral analysis; Stochastic processes; Ultrasonic imaging; Vectors;
Conference_Titel :
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-7061-9
DOI :
10.1109/.2001.980966
