Author:
Espinosa-Pulido Juan A,Navarro-Moreno Jesús,Fernández-Alcalá Rosa M,Ruiz-Molina Juan C
Abstract
Abstract
The insufficiency to guarantee the existence of a state-space representation of the classical wide-sense Markov condition for improper complex-valued signals is shown and a generalization is suggested. New characterizations for wide-sense Markov signals which are based either on second-order properties or on state-space representations are studied in a widely linear setting. Moreover, the correlation structure of such signals is revealed and interesting results on modeling in both the forwards and backwards time directions are proved. As an application we give some recursive estimation algorithms obtained from the Kalman filter. The performance of the proposed results is illustrated in a numerical example in the areas of estimation and simulation.
Publisher
Springer Science and Business Media LLC
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