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

MaRDI QIDQ1899658zbMATH OpenFDO

Authors G. A. Golubev

Publication date 19 October 1995

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

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)

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(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
• scientific article; zbMATH DE number 4113800 (Why is no real title available?)
• 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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