Spectral analysis and analytic interpolation

Tryphon T. Georgiou

Research output: Contribution to journalConference articlepeer-review


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.

Original languageEnglish (US)
Pages (from-to)4800-4805
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
StatePublished - 2001
Event40th IEEE Conference on Decision and Control (CDC) - Orlando, FL, United States
Duration: Dec 4 2001Dec 7 2001


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