Abstract
Explicit solutions to the interpolation problem for continuous-time stationary increments processes with a rational spectral density are derived. To do so, a new approach to the problem that relies on stochastic realization theory is taken. In particular, it is shown that the optimal interpolator is completely characterized by two steady-state Kalman-Bucy estimates.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 133-142 |
| Number of pages | 10 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 22 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1984 |
ASJC Scopus subject areas
- Control and Optimization
- Applied Mathematics