DocumentCode
816068
Title
Spectral factorization of a finite-dimensional nonstationary matrix covariance
Author
Anderson, Brion D o ; Moylan, Peter J.
Author_Institution
University of Newcastle, Newcastle, NSW, Australia
Volume
19
Issue
6
fYear
1974
fDate
12/1/1974 12:00:00 AM
Firstpage
680
Lastpage
692
Abstract
For a given nonstationary matrix covariance with a finite-dimensionality property that is the time-varying generalization of the rational power spectrum matrix property, we show how to find a linear finite-dimensional system driven by white noise with output covariance equal to the prescribed covariance.
Keywords
Linear systems, stochastic continuous-time; Nonstationary stochastic processes; Spectral factorizations; Australia; Covariance matrix; Frequency; Helium; History; Linear systems; Riccati equations; Terminology; Time varying systems; White noise;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1974.1100700
Filename
1100700
Link To Document