LTI Stochastic Processes: a Behavioral Perspective

Abstract

This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on [Willems, 2013], we derive a canonical representation of an LTI stochastic process and a physically grounded notion of interconnection between independent stochastic processes. We use this framework to analyze the invariance properties enjoyed by distances between spectral densities of LTI processes.

arXiv comment7 pages, 3 figures. Extended version of 20th IFAC World Congress paper