Title

STATE-SPACE APPROACH TO POSITIVE SEQUENCES.

Document Type

Conference Proceeding

Date of Original Version

1-1-1987

Abstract

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.

Publication Title

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

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