APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES.
JM Maciejowski · Cambridge University Engineering Department Publications Database · 1984
Given a spectral density matrix or, equivalently, a real autocovariance sequence, the author seeks to determine a finite-dimensional linear time-invariant system which, when driven by white noise, will produce an output whose spectral density is approximately PHI ( omega ), and an approximate spectral factor of PHI ( omega ). The author employs the Anderson-Faurre theory in his analysis.