Spectral factorization of time-varying covariance functions

DOI10.1109/TIT.1969.1054360MaRDI QIDQ5568930zbMATH OpenFDO

Authors John Moore, S. G. Loo, Brian D. O. Anderson

Publication date 1969

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TIT.1969.1054360

zbMATH Keywords

information, communication

Cited in

(12)

• Linear innovation theorems
• A method of orthogonal directions. III: Estimation algorithms of Chandrasekhar and Cholesky types for discrete-time, nonconstant models
• Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
• Dynamic systems with random initial state
• The choice of signal-process models in Kalman-Bucy filtering
• Explicit strict sense state-space realizations of non-stationary processes†
• Stability properties of periodic filters
• Identification of a class of time-variable linear systems via its output covariance function
• The singular solutions to a singular quadratic minimization problem†
• A Direct Method for Linear Dynamical Problems in Continuum Mechanics with Random Loads
• Spectral factorization of time-varying covariance functions: The singular case
• Linear systems with non-stationary random inputs†

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