On the identification of certain rational transfer functions from truncated autocovariance sequences

Abstract

Let H(z)=/spl Sigma//sub k=0//sup /spl infin// H/sub k/z/sup -k/ be a q/spl times/p rational causal minimum phase transfer function, and let (R/sub n/)/sub n/spl isin/Z/ be the autocovariance sequence associated to the spectral density H(z)H/sup T/ (z/sup -1/). In this paper, the authors address the identification problem of H(z) from the truncated autocovariance sequence (R/sub n/)/sub n/spl ne/0/ for the case q>p.