Maciejowski, JM (1984) APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES. IEE Colloquium (Digest). 5. 1-5. 4-. ISSN 0963-3308Full text not available from this repository.
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.
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|Date Deposited:||18 May 2016 18:29|
|Last Modified:||24 Aug 2016 23:24|