Limiting Conditions on the Correlation Properties of Random Signals
- 1 December 1956
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IRE Transactions on Circuit Theory
- Vol. 3 (4) , 282-285
- https://doi.org/10.1109/tct.1956.1086329
Abstract
A system ofnsignals that has random character is completely characterized by its self-power spectra and cross-power spectra which, when normalized, can be combined in a correlation matrix. It is shown that the correlation matrix must fulfill the fundamental condition that none of its principal minors is negative. It is shown that no further restriction exists, that is, that all correlation matrices fulfilling this condition are realizable.Keywords
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