Maciejowski, JM (1984) *APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES.* IEE Colloquium (Digest). 5. 1-5. 4-. ISSN 0963-3308

## Abstract

Given a spectral density matrix or, equivalently, a real autocovariance sequence, the author seeks to determine a finite-dimensional linear time-invariant system which, when driven by white noise, will produce an output whose spectral density is approximately PHI ( omega ), and an approximate spectral factor of PHI ( omega ). The author employs the Anderson-Faurre theory in his analysis.

Item Type: | Article |
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Subjects: | UNSPECIFIED |

Divisions: | Div F > Control |

Depositing User: | Cron Job |

Date Deposited: | 15 Dec 2015 12:45 |

Last Modified: | 02 May 2016 11:00 |

DOI: |