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)|
|Number of pages||6|
|Journal||Proceedings of the IEEE Conference on Decision and Control|
|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