Spectral analysis of stochastically sampled dynamic systems

DOI10.1007/PL00009878MaRDI QIDQ5936219zbMATH OpenOpenAlexFDO

Authors Reinder Banning, Willem L. De Koning

Publication date 19 August 2002

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/pl00009878

discrete observations extended stationary Langevin model Gaussian process sampled models spectral density

Characteristic functions; other transforms (60E10) Gaussian processes (60G15) Sampled-data control/observation systems (93C57) Stochastic systems in control theory (general) (93E03)

Review text

After describing some practical phenomena, the authors consider a dynamic stochastic model called an extended stationary Langevin model, which in fact is a Gaussian and stationary process \(x\) in \(\mathbb{R}^n\) (this is the signal), while the observed process \(y\) is an \(\mathbb{R}^n\)-valued linear function of the signal. The goal is to derive some conclusions about the spectral density of the signal process based on discrete observations. Both cases, when the observation times are deterministic and when they are random, are treated. The main attention is paid to discrete, that is, sampled models. A numerical illustrative example is given.

Recommendations

Cited in

(7)

This page was built for publication: Spectral analysis of stochastically sampled dynamic systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5936219)