Spectral analysis and analytic interpolation
Tryphon T. Georgiou · Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) · 2003
Consider a stationary stochastic input driving a known linear filter and assume knowledge of the resulting covariance of the state vector. We are interested in characterizing all input spectra which are consistent with the given state-covariance. We first identify the dependance of the state covariance on the filter equations and then characterize all admissible input power spectra via solutions to a related analytic interpolation problem.