A simplified signal analysis technique for obtaining optimal estimates of system dynamics

摘要

A procedure is presented which provides an algorithm for the special case where the unknown system has n inputs, and n finite length realizations for each of the n input signals are available. Given an n input system and n experimental records for each input, it is shown that the optimum Wiener filter is easily computed using only the experimental data. No assumptions concerning the analytical structure of the spectral matrix are necessary.