Spectral factorization of a finite-dimensional nonstationary matrix covariance
Brian D. O. Anderson, Peter J. Moylan · IEEE Transactions on Automatic Control · 1974
For a given nonstationary matrix covariance with a finite-dimensionality property that is the time-varying generalization of the rational power spectrum matrix property, we show how to find a linear finite-dimensional system driven by white noise with output covariance equal to the prescribed covariance.