Is uniqueness lost for under-sampled continuous-time auto-regressive processes?

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Abstract

We consider the problem of sampling continuous-time auto-regressive processes on a uniform grid. We investigate whether a given sampled process originates from a single continuous-time model, and address this uniqueness problem by introducing an alternative description of poles in the complex plane. We then utilize Kronecker's approximation theorem and prove that the set of non-unique continuous-time AR(2) models has Lebesgue measure zero in this plane. This is a key aspect in current estimation algorithms that use sampled data, as it allows one to remove the sampling rate constraint that is imposed currently. © 2012 IEEE.
Original languageEnglish
Article number6138293
Pages (from-to)183-186
Number of pages4
JournalIEEE Signal Processing Letters
Volume19
Issue number4
DOIs
StatePublished - Feb 27 2012

Keywords

  • Approximation theory
  • Sampling theory
  • Stochastic processes

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