On Riccati equations, orthogonal polynomials and fast filtering algorithm
نویسنده
چکیده
In this note we cast parametrization of certain type of covariance extension problems in polynomial model. We show that the Kimura form of state space realization for maximum entropy solution to Carathéodory’s extension problem is Riccati balanced parametrization. As an application we provide a heuristic algorithm for finding solutions to minimum-phase spectral factor with poles and zeros, given partial covariance sequence, by model reduction technique and fast filtering algorithms using Kimura-Georgiou parametrization.
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