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LTI Stochastic Processes: a Behavioral Perspective (1704.02154v1)
Published 7 Apr 2017 in cs.SY
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.
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