Innovations - PSD Factorization PSD PSD rational and analytic in the ring |z| 1 Implications of PSD Factorization Implications Random signal

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PSD Factorization PSD Factorization ± PSD rational and analytic in the ring : ρ · |z| · 1/ ρ . ± PSD is real and positive on the UC ± Then a spectral factorization is valid: ± For white-noise based processes: Implications of PSD Factorization Implications of PSD Factorization ± Random signal linearly equivalent to innovations: ± Orthonormal signal expansion: ± Poles and zeroes come in conjugate-reciprocal pairs: Innovations Process Innovations Process ± Wold’s decomposition for a WSS process ± Linear predictor:
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This note was uploaded on 12/02/2011 for the course AR 107 taught by Professor Gracegraham during the Fall '11 term at Montgomery College.

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Innovations - PSD Factorization PSD PSD rational and analytic in the ring |z| 1 Implications of PSD Factorization Implications Random signal

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