LTI Stochastic Processes: a Behavioral Perspective

Baggio, G and Sepulchre, R (2017) LTI Stochastic Processes: a Behavioral Perspective. IFAC-PapersOnLine, 50. pp. 2806-2811.

Abstract

© 2017 This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on Willems (2013), we derive a canonical representation of an LTI stochastic process and a physically grounded notion of interconnection between independent stochastic processes. We use this framework to analyze the invariance properties enjoyed by distances between spectral densities of LTI processes.