Modern Methods of Covariance Analysis and Applications to the Estimation Theory
The classical spectral method of the stochastic analysis is connected with transfer functions and power spectra describing the excitation and response processes of dynamic systems in the frequency domain. Naturally, such a description is most adequate to vibrating systems. However, it possesses the significant disadvantages that it is restricted to stationary processes and to linear time-invariant systems.
KeywordsWhite Noise Stochastic Differential Equation Wiener Process Modern Method Covariance Analysis
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