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

Tryphon T. Georgiou

doi:10.1109/TAC.2002.804482

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

Tryphon T. Georgiou

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-review

64 Scopus citations

Abstract

An explicit formula was derived for the maximum entropy spectrum. The characterization of state-covariances of continuous-time filters based on filter parameters was also studied. It was found that input spectra, which are consistent with a given state covariance of a linear filter, correspond to solutions of an analytic interpolation problem.

Original language	English (US)
Pages (from-to)	1811-1823
Number of pages	13
Journal	IEEE Transactions on Automatic Control
Volume	47
Issue number	11
DOIs	https://doi.org/10.1109/TAC.2002.804482
State	Published - Nov 2002

Bibliographical note

Funding Information:
Manuscript received June 5, 2001; revised January 31, 2002. Recommended by Associate Editor Q. Zhang. This work was supported in part by the Air Force Office of Scientific Research and the National Science Foundation. The author is with the Department of Electrical and Computer Engineering, University of Minnesota, Minneapolis, MN 55455 USA (e-mail: tryphon@ece.umn.edu). Digital Object Identifier 10.1109/TAC.2002.804482

Keywords

Analytic interpolation
Covariance realization

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

Abstract

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Keywords

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