文章基本信息

标题：LTI Stochastic Processes: a Behavioral Perspective * * The research leading to these results has received funding from the European Research Council under the Advanced ERC Grant Agreement Switchlet n. 670645.
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作者：Giacomo Baggio ; Rodolphe Sepulchre
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2017
卷号：50
期号：1
页码：2806-2811
DOI：10.1016/j.ifacol.2017.08.631
语种：English
出版社：Elsevier
摘要：AbstractThis 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.
关键词：KeywordsStochastic modellingSynthesis of stochastic systemsSimulation of stochastic systemsTime series modellingBehavioral systems theoryRational spectral densities