Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

Anderson, Brian D.O.; Moylan, Peter J.

Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

Date

1974

Authors

Anderson, Brian D.O.

Moylan, Peter J.

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.

URI

https://hdl.handle.net/1885/733802969

Collections

ANU Research Publications

Source

IEEE Transactions on Automatic Control

Type

Journal article

Entity type

Publication

DOI

10.1109/TAC.1974.1100700

Full item page

Cultural advice

Spectral Factorization of a Finite-Dimensional Nonstationary Matrix Covariance

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Access Statement

Research Projects

Organizational Units

Journal Issue

Abstract

Description

Keywords

Citation

URI

Collections

Source

Type

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until