• DocumentCode
    864187
  • Title

    Spectral analysis based on the state covariance: the maximum entropy spectrum and linear fractional parametrization

  • Author

    Georgiou, Tryphon T.

  • Author_Institution
    Dept. of Electr. & Comput. Eng., Minnesota Univ., USA
  • Volume
    47
  • Issue
    11
  • fYear
    2002
  • fDate
    11/1/2002 12:00:00 AM
  • Firstpage
    1811
  • Lastpage
    1823
  • Abstract
    Input spectra, which are consistent with a given state covariance of a linear filter, correspond to solutions of an analytic interpolation problem. We derive an explicit formula for the power spectrum with maximal entropy, and provide a linear fraction parametrization of all solutions.
  • Keywords
    covariance analysis; filtering theory; interpolation; matrix algebra; maximum entropy methods; spectral analysis; stochastic processes; analytic interpolation problem; covariance realization; linear filter; linear fractional parametrization; maximum entropy spectrum; spectral analysis; state covariance; Covariance matrix; Eigenvalues and eigenfunctions; Entropy; Equations; Interpolation; Nonlinear filters; Power measurement; Spectral analysis; Stochastic processes; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2002.804482
  • Filename
    1047008
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=864187