Title :
A new characterization for multivariate Gaussian reciprocal processes
Author :
Chen, Jie ; Weinert, Howard L.
Author_Institution :
Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
fDate :
10/1/1993 12:00:00 AM
Abstract :
Established a new necessary and sufficient condition for a multivariate Gaussian random process to be reciprocal. This result is then used to prove that the state vector of a two-point boundary value system is reciprocal. The authors do not impose any nonsingularity conditions on the covariance function of the state vector
Keywords :
boundary-value problems; random processes; multivariate Gaussian reciprocal processes; necessary and sufficient condition; state vector; two-point boundary value system; Covariance matrix; Gaussian noise; Gaussian processes; History; Random processes; Stochastic systems; Sufficient conditions;
Journal_Title :
Automatic Control, IEEE Transactions on
