Papers by C.A. Schwartz and E.D. Sontag

In this paper we are concerned with the theory of second order (linear) innovations for discrete random processes. We show that of existence of a finite dimensional linear filter realizing the mapping from a discrete random process to its innovations is equivalent to a certain semiiseparable structure of the covariance sequence of the process. We also show that existence of a finite dimensional realization (linear or nonlinear) of the mapping from a process to its innovations implies that the process have this serniseparable covariance sequence property. In particular, for a stationary random process, the spectral density function must be rational.