Factorization of the matrix spectral density and the solution of the problem of the linear filtering of multidimensional stationary random processes

zbMATH Open0833.93054MaRDI QIDQ1899658FDOQ1899658

Authors: G. A. Golubev 

Publication date: 19 October 1995

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

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zbMATH Keywords

factorizationlinear filteringirrational spectral densities

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Linear systems in control theory (93C05)

Cited In (7)

• Spectral Factorization of Rank-Deficient Rational Densities
• A numerical method for factorizing the rational spectral density matrix
• Linear filtering of stationary random processes with continuous time
• Title not available (Why is that?)
• An explicit solution of the linear filtering problem for certain classes of nonrational spectral densities
• Linear filtering of a two-dimensional process with stationary components having quasirational joint spectral density
• Factorization of moving-average spectral densities by state-space representations and stacking

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