Factorization of the matrix spectral density and the solution of the problem of the linear filtering of multidimensional stationary random processes (Q1899658)
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scientific article; zbMATH DE number 807038
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| English | Factorization of the matrix spectral density and the solution of the problem of the linear filtering of multidimensional stationary random processes |
scientific article; zbMATH DE number 807038 |
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Factorization of the matrix spectral density and the solution of the problem of the linear filtering of multidimensional stationary random processes (English)
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19 October 1995
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A solution to the problem of factorization of irrational matrix spectral densities is proposed. As a consequence, a solution to the problem of linear filtering of multidimensional, stationary, partially observable random processes with irrational spectral densities is provided. The proposed method is illustrated by an example.
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factorization
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linear filtering
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irrational spectral densities
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0.8664525747299194
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0.8319447040557861
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0.8288578391075134
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0.8116835951805115
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