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
fDate :
11/1/2002 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2002.804482
