A New Procedure for Stochastic Realization of Spectral Density Matrices

In this paper we consider the problem of obtaining a state space realization of a zero mean gaussian vector process. A new algorithm is presented for the case in which the process is given in terms of its spectral density function. Contrary to the usual procedure followed, which requires a partial fraction expansion, the algorithm presented starts with a (deterministic) realization of the spectral density function itself