EVALUATION OF STOCHASTIC LINEAR SYSTEM INPUT SIGNAL PARAMETERS BASED ON CORRELATIONAL FUNCTION

Abstract

This article considers the task of evaluating output signal parameters of a discrete linear dynamic system. The estimation of autocorrelation and spectral density functions are build to solve the task.

Keywords

• Autocorrelation function (AFC)
• Stochastic dynamical systems
• Parameter estimation of the input signal
• The Fisher information matrix