LTI Stochastic Processes: a Behavioral Perspective
Accepted version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Baggio, G
Sepulchre, Rodolphe https://orcid.org/0000-0002-7047-3124
Abstract
© 2017 This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on Willems (2013), we derive a canonical representation of an LTI stochastic process and a physically grounded notion of interconnection between independent stochastic processes. We use this framework to analyze the invariance properties enjoyed by distances between spectral densities of LTI processes.
Description
Keywords
Stochastic modelling, Synthesis of stochastic systems, Simulation of stochastic systems, Time series modelling, Behavioral systems theory, Rational spectral densities
Journal Title
IFAC-PapersOnLine
Conference Name
Journal ISSN
2405-8963
2405-8963
2405-8963
Volume Title
50
Publisher
Elsevier BV
Publisher DOI
Sponsorship
European Research Council (670645)
ERC