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LTI Stochastic Processes: a Behavioral Perspective

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Baggio, G 
Sepulchre, Rodolphe  ORCID logo  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

Volume Title

50

Publisher

Elsevier BV
Sponsorship
European Research Council (670645)
ERC