LTI Stochastic Processes: a Behavioral Perspective
Systems and Control
2017-04-10 v1
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.
Keywords
Cite
@article{arxiv.1704.02154,
title = {LTI Stochastic Processes: a Behavioral Perspective},
author = {Giacomo Baggio and Rodolphe Sepulchre},
journal= {arXiv preprint arXiv:1704.02154},
year = {2017}
}
Comments
7 pages, 3 figures. Extended version of 20th IFAC World Congress paper