STATE-SPACE APPROACH TO POSITIVE SEQUENCES.
Date of Original Version
The problem considered is the following: given a symmetric sequence r//j which is not positive (i. e. its Fourier transform takes on negative values), find a positive sequence which is a good approximation to r//j. This problem arises, for example, when r//j is an estimated covariance sequence which is not positive, and a positive covariance sequence is desired. A solution to the positivity problem is given which uses state-space models and a scaled algebraic Riccati equation.
ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Vaccaro, Richard J., and Fu Li. "STATE-SPACE APPROACH TO POSITIVE SEQUENCES.." ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings , (1987): 1304-1307. https://digitalcommons.uri.edu/ele_facpubs/1197