This article is cited in 3 papers

Stochastic Systems

The Laplace image of random processes, and nonparametric identification of continuous systems

B. O. Kachanov

N.E. Zhukovsky Military Engineering Academy

Abstract: The Laplace image of stationary random normal processes is studied. The covariance function of the Laplace image of white noise is converted by a linear shaping filter into the covariance function of the Laplace image of the filter output process. The relationship between the covariance function of the Laplace image of a random process and the autocovariance function and spectral density is determined. The covariance function of the Laplace image of measurement errors of a transition process in a stationary linear system is applied in optimal nonparametric identification of the transfer function.

Presented by the member of Editorial Board: V. N. Bukov

Received: 19.03.2003

 English version: Automation and Remote Control, 2004, 65:1, 65–71

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