Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

Brian D.O. Anderson; Peter J. Moylan

doi:10.1109/TAC.1974.1100700

Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

Brian D.O. Anderson, Peter J. Moylan

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

26 Citations (Scopus)

Abstract

For a given nonstationary matrix covariance with a finite-dimensionality property that is the time-varying generalization of the rational power spectrum matrix property, we show how to find a linear finite-dimensional system driven by white noise with output covariance equal to the prescribed covariance.

Original language	English
Pages (from-to)	680-692
Number of pages	13
Journal	IEEE Transactions on Automatic Control
Volume	19
Issue number	6
DOIs	https://doi.org/10.1109/TAC.1974.1100700
Publication status	Published - Dec 1974
Externally published	Yes

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title = "Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance",

abstract = "For a given nonstationary matrix covariance with a finite-dimensionality property that is the time-varying generalization of the rational power spectrum matrix property, we show how to find a linear finite-dimensional system driven by white noise with output covariance equal to the prescribed covariance.",

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Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

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