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