ISSN:
1435-568X
Keywords:
Spectral factorization
;
Covariance factorization
;
Newton-Raphson
;
Wiener-Hopf equations
;
Error localization
Source:
Springer Online Journal Archives 1860-2000
Topics:
Electrical Engineering, Measurement and Control Technology
,
Mathematics
,
Technology
Notes:
Abstract The solution to the problem of factorization of the covariance function of a stationary, discrete-time process is obtained by using a Newton-Raphson procedure which converges quadratically inl 1 provided the initial iterate is chosen suitably. The existence of a suitable initial iterate is guaranteed by an approximation result. An application to error localization in spectral factorization is suggested.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01211561
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