IEEE Transactions on Automatic Control, Vol.44, No.5, 1078-1081, 1999
On the identification of certain rational transfer functions from truncated autocovariance sequences
Let H(z) = Sigma(k=0)(infinity) H(k)z(-k) be a q x p rational causal minimum phase transfer function, and let(R-n)(n is an element of Z) be the autocovariance sequence associated to the spectral density H(z)H-T (z(-1)). In this paper, the authors address the identification problem of H(z) from the truncated autocovariance sequence (R-n)(n not equal 0) for the case q > p.