Comrade matrix and systems excited by colored noise
Brian D. O. Anderson · IEEE Transactions on Automatic Control · 1980
Stable linear systems described by state variable equations are considered where the input process is stationary and, in general, nonwhite. We show that there exists a natural coordinate basis for the system, the main properties for which imply that the state covariance matrix is a multiple of the identity, the system matrix itself is a comrade matrix, and the orthonormal polynomial set used to define the comrade matrix is obtained from the input spectrum and the system characteristic polynomial.