IEEE Transactions on Automatic Control, Vol.47, No.2, 323-327, 2002
Analyzing wide-band noise processes with application to control and filtering
In this note, the concept of wide-band noise is analyzed via a certain integral representation. It is proved that there are infinitely many wide-band noise processes represented in integral form which correspond to the same autocovariance function. Based on this integral representation, a technique of reduction of a wide-band noise driven system to a white noise driven system is presented. This technique is used to modify the separation principle and the Kalman-Bucy filtering to wide-band noise driven systems.