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

Tryphon T. Georgiou

Research output: Contribution to journalArticlepeer-review

57 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 languageEnglish (US)
Pages (from-to)1811-1823
Number of pages13
JournalIEEE Transactions on Automatic Control
Volume47
Issue number11
DOIs
StatePublished - 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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