Subspace analysis of state covariances

Tryphon T. Georgiou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations


The state-covariance of a linear filter imposes a generalized interpolation constraint on the power spectrum of the input. We explore this observation by first characterizing minimal line-spectra which are consistent with given state-covariance data. In particular, we present a canonical decomposition for state-covariances which is analogous to the well-known decomposition of Toeplitz matrices due to Carathkodory-Fejkr and Pisarenko. Accordingly we develop subspace-based signal estimation techniques which apply to state covariances of linear filters and are analogous to MUSIC and ESPRIT. A method analogous to one due to Capon, but based on state-covariance data instead, is also presented. Finally, through a certain duality, subspace methods are shown to be useful in identifying absorption instead of emission lines in the power spectrum of the filter-input.

Original languageEnglish (US)
Title of host publicationSignal Processing Theory and Methods I
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages4
ISBN (Electronic)0780362934
StatePublished - Jan 1 2000
Event25th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2000 - Istanbul, Turkey
Duration: Jun 5 2000Jun 9 2000

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149


Other25th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2000


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