Abstract
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 language | English (US) |
|---|---|
| Pages (from-to) | 4800-4805 |
| Number of pages | 6 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| Volume | 5 |
| State | Published - Dec 1 2001 |
| Event | 40th IEEE Conference on Decision and Control (CDC) - Orlando, FL, United States Duration: Dec 4 2001 → Dec 7 2001 |