IEEE Transactions on Automatic Control, Vol.47, No.11, 1811-1823, 2002
Spectral analysis based on the state covariance: The maximum entropy spectrum and linear fractional parametrization
Input spectra, which are consistent with a given state covariance of a linear filter, correspond to solutions of an analytic interpolation problem. We derive an explicit formula for the power spectrum with maximal entropy, and provide a linear fraction parametrization of all solutions.