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A linear decomposition of stationary random processes into uncorrelated and completely correlated components

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1 Author(s)

This paper deals with a decomposition of a set of stationary random processes: x_{1}, x_{2}, \cdots , x_{n} . The decomposition has the form: x_{1} = y_{11}, x_{2} = y_{21} + y_{22}, x_{3} = y_{31} + y_{32} + y_{33} , etc., where the components y_{ij} have the following properties: for a fixed i , they are completely correlated in pairs; for a fixed j , they are uncorrelated in pairs. Assuming the spectral matrix of the x_{i} 's as known, the spectral description of the y_{ij} 's given by a lower triangular matrix, is determined. This is achieved by both an iterative and a direct method. In both methods regular and singular cases are considered.

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Information Theory, IEEE Transactions on  (Volume:14 ,  Issue: 1 )