DocumentCode
3012882
Title
A state-space approach to positive sequences
Author
Vaccaro, Richard J. ; Li, Fu
Author_Institution
University of Rhode Island, Kingston, RI
Volume
12
fYear
1987
fDate
31868
Firstpage
1304
Lastpage
1307
Abstract
The problem considered in this paper is the following: given a symmetric sequence 
which is not positive, (i.e. its Fourier transform takes on negative values), find a positive sequence 
which is a good approximation to . This problem arises, for example, when is an estimated covariance sequence which is not positive, and a positive covariance sequence is desired. A solution to the positivity problem is given which uses state-space models and a scaled algebraic Riccati equation.
which is not positive, (i.e. its Fourier transform takes on negative values), find a positive sequence which is a good approximation to . This problem arises, for example, when is an estimated covariance sequence which is not positive, and a positive covariance sequence is desired. A solution to the positivity problem is given which uses state-space models and a scaled algebraic Riccati equation.Keywords
Covariance matrix; Eigenvalues and eigenfunctions; Fourier transforms; Parametric statistics; Riccati equations; State estimation; Stochastic processes; Stochastic resonance; Stochastic systems; Technological innovation;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.
Type
conf
DOI
10.1109/ICASSP.1987.1169446
Filename
1169446
Link To Document