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• W2155137986 abstract "The determination of the state-space equations of a time-varying finite-dimensional linear system with a prescribed output covariance matrix is considered when the system is excited by Gaussian white-noise inputs. It is shown that a symmetric state covariance matrix provides the key link between the state-space equations of a system and the system output covariance matrix. Furthermore, such a matrix satisfies a linear matrix differential equation if the state-space equations of the system are known, and a matrix Riccati equation if the output covariance matrix of the system is given. Existence results are given for the Riccati equation solution, and discussion of asymptotic solutions of the differential equations is also included." @default.
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• W2155137986 date "1969-09-01" @default.
• W2155137986 modified "2023-09-25" @default.
• W2155137986 title "Spectral factorization of time-varying covariance functions" @default.
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• W2155137986 doi "https://doi.org/10.1109/tit.1969.1054360" @default.
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