DocumentCode :
3012882
Title :
A state-space approach to positive sequences
Author :
Vaccaro, Richard J. ; Li, Fu
Author_Institution :
University of Rhode Island, Kingston, RI
Volume :
12
fYear :
1987
fDate :
31868
Firstpage :
1304
Lastpage :
1307
Abstract :
The problem considered in this paper is the following: given a symmetric sequence 
which is not positive, (i.e. its Fourier transform takes on negative values), find a positive sequence 
which is a good approximation to . This problem arises, for example, when is an estimated covariance sequence which is not positive, and a positive covariance sequence is desired. A solution to the positivity problem is given which uses state-space models and a scaled algebraic Riccati equation.
which is not positive, (i.e. its Fourier transform takes on negative values), find a positive sequence which is a good approximation to . This problem arises, for example, when is an estimated covariance sequence which is not positive, and a positive covariance sequence is desired. A solution to the positivity problem is given which uses state-space models and a scaled algebraic Riccati equation.Keywords :
Covariance matrix; Eigenvalues and eigenfunctions; Fourier transforms; Parametric statistics; Riccati equations; State estimation; Stochastic processes; Stochastic resonance; Stochastic systems; Technological innovation;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.
Type :
conf
DOI :
10.1109/ICASSP.1987.1169446
Filename :
1169446
Link To Document :
