Accession Number : AD0807732
Title : TIME-VARYING SPECTRAL FACTORIZATION.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CA STANFORD ELECTRONICS LABS
Personal Author(s) : Anderson, B. D. O.
Report Date : OCT 1966
Pagination or Media Count : 16
Abstract : The problem is posed of obtaining the spectral factorization of the covariance of the output of a linear, finite-dimensional, time-varying system driven by white noise. It is shown that a factorization can be found, though possibly not globally, by solving a matrix Riccati equation. (Author)
Descriptors : *WHITE NOISE), (*LINEAR SYSTEMS, (*ANALYSIS OF VARIANCE, FACTOR ANALYSIS), DIFFERENTIAL EQUATIONS, TRANSFORMATIONS(MATHEMATICS), TIME, MATRICES(MATHEMATICS), STOCHASTIC PROCESSES.
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE