Advanced Topics in System and Signal Theory: A Mathematical Approach

The requirement of causality in system theory is inevitably accompanied by the appearance of certain mathematical operations, namely the Riesz projection,the Hilberttrans form, and the spectral factorization mapping. A classical example illustrating this is the determination of the so-calledWiener filter (the linear, minimum means square error estimation filter for stationary shastic sequences [88]). If the filter is not required to be causal, the transfer function of the Wiener filter is s...