Spectral factorization of time-varying covariance functions
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Publication:5568930
DOI10.1109/TIT.1969.1054360zbMath0176.49703MaRDI QIDQ5568930
S. G. Loo, John B. Moore, Brian D. O. Anderson
Publication date: 1969
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Related Items (12)
Spectral factorization of time-varying covariance functions: The singular case ⋮ Linear systems with non-stationary random inputs† ⋮ Stability properties of periodic filters ⋮ A Direct Method for Linear Dynamical Problems in Continuum Mechanics with Random Loads ⋮ Linear innovation theorems ⋮ Identification of a class of time-variable linear systems via its output covariance function ⋮ A method of orthogonal directions. III: Estimation algorithms of Chandrasekhar and Cholesky types for discrete-time, nonconstant models ⋮ Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models ⋮ Dynamic systems with random initial state ⋮ The choice of signal-process models in Kalman-Bucy filtering ⋮ The singular solutions to a singular quadratic minimization problem† ⋮ Explicit strict sense state-space realizations of non-stationary processes†
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