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.
Bibliographical noteFunding 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: firstname.lastname@example.org). Digital Object Identifier 10.1109/TAC.2002.804482
- Analytic interpolation
- Covariance realization