LTI Stochastic Processes: a Behavioral Perspective*. Issue 1 (July 2017)

• Record Type: Journal Article
• Authors: Baggio, Giacomo; Sepulchre, Rodolphe
• Is Part Of: IFAC-PapersOnLine. Volume 50:Issue 1(2017)
• Page Start: 2806
• Page End: 2811
• Publication Date: 2017-07
• Subjects: Stochastic modelling -- Synthesis of stochastic systems -- Simulation of stochastic systems -- Time series modelling -- Behavioral systems theory -- Rational spectral densities; Automatic control -- Periodicals; 629.805
• DOI: 10.1016/j.ifacol.2017.08.631
• Languages: English
• ISSNs: 2405-8963

Abstract

Abstract: This 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.