Spectral analysis based on the state covariance: The maximum entropy spectrum and linear fractional parametrization

Tryphon T. Georgiou

Research output: Contribution to journalArticle

57 Scopus citations

Abstract

An explicit formula was derived for the maximum entropy spectrum. The characterization of state-covariances of continuous-time filters based on filter parameters was also studied. It was found that input spectra, which are consistent with a given state covariance of a linear filter, correspond to solutions of an analytic interpolation problem.

Original languageEnglish (US)
Pages (from-to)1811-1823
Number of pages13
JournalIEEE Transactions on Automatic Control
Volume47
Issue number11
DOIs
StatePublished - Nov 1 2002

Keywords

  • Analytic interpolation
  • Covariance realization

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