This detailed study of spectrum estimation and system identification emphasizes a new approach that makes use of the nonnegativity condition of the spectrum. Beginning with second-order stationary stochastic processes, the one-to-one relationship between their spectra and bounded (or positive) functions is used to exhibit all solutions to the classical trigometric moment problem that deals with the extension of the given partial set of autocorrelations. A new approach that exploits rationality is presented for identifying the model order and system parameters of ARMA (rational) systems from their output measurements. This approach also provides rational approximations of nonrational systems. Extensions to the multichannel case in all of the above situations are also analyzed.
- ISBN10 3540940235
- ISBN13 9783540940234
- Publish Date July 1993
- Publish Status Out of Print
- Out of Print 11 November 2010
- Publish Country DE
- Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Format Hardcover
- Pages 338
- Language English