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Consider a stationary stochastic input driving a known linear filter and assume knowledge of the resulting covariance of the state vector. We are interested in characterizing all input spectra which are consistent with the given state-covariance. We first identify the dependance of the state covariance on the filter equations and then characterize all admissible input power spectra via solutions to a related analytic interpolation problem
Published in:
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
(Volume:5
)
Date of Conference: 2001
- Page(s):
- 4800 - 4805 vol.5
- Meeting Date :
- 04 Dec 2001-07 Dec 2001
- Print ISBN:
- 0-7803-7061-9
- INSPEC Accession Number:
- 7205014
- Conference Location :
- Orlando, FL
- Digital Object Identifier :
- 10.1109/.2001.980966
- Product Type:
- Conference Publications
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