Covariance-Invariant Discrete-Time Systems.
COLORADO STATE UNIV FORT COLLINS DEPT OF ELECTRICAL ENGINEERING
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The problems of minimal realization and spectral factorization are reviewed in a tutorial manner and a new, indirect method for solving these problems is presented. The method is based on a covariance-invariance between continuous-time and discrete-time systems. Applications in Kalman Filtering, digital filtering and process simulation are discussed.
- Statistics and Probability