MARKOVIAN REPRESENTATION AND PREDICTION OF STOCHASTIC-PROCESSES WITH TIME-VARYING RATIONAL SPECTRUM

被引：0
|
作者：
ANH, VV
SPENCER, NM
机构：
[1] School of Mathematics, Queensland University of Technology, Brisbane, 4001 QLD, Gardens Point Campus
来源：
SIGNAL PROCESSING | 1991年 / 24卷 / 02期
关键词：
MARKOVIAN REPRESENTATION; TIME-VARYING RATIONAL SPECTRUM; SPECTRAL FACTORIZATION PROBLEM; KALMAN FILTER; INTEGRAL OPERATOR; TIME-DEPENDENT ARMA; REPRODUCING KERNEL HILBERT SPACE;
D O I：
10.1016/0165-1684(91)90127-5
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
This paper solves the spectral factorization problem for a class of processes with time-dependent rational spectral density. As a consequence, the prediction problem for these processes is solved based on the integral operator method. In addition, the connection between processes with time-dependent rational spectral density and time-dependent ARMA processes is discussed.
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页码：137 / 147
页数：11
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