Covariance factorization via newton-raphson iteration

Brian D.O. Anderson

doi:10.1109/TIT.1978.1055859

Covariance factorization via newton-raphson iteration

Brian D.O. Anderson^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

The solution of an integral equation arising in a covariance factorization problem is obtained by a Newton-Raphson iteration that is almost always globally convergent. Interpretations of the iterates are given, and the result is shown to specialize to known algorithms when the covariance is stationary with a rational Fourier transform.

Original language	English
Pages (from-to)	183-187
Number of pages	5
Journal	IEEE Transactions on Information Theory
Volume	24
Issue number	2
DOIs	https://doi.org/10.1109/TIT.1978.1055859
Publication status	Published - Mar 1978
Externally published	Yes

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10.1109/TIT.1978.1055859

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abstract = "The solution of an integral equation arising in a covariance factorization problem is obtained by a Newton-Raphson iteration that is almost always globally convergent. Interpretations of the iterates are given, and the result is shown to specialize to known algorithms when the covariance is stationary with a rational Fourier transform.",

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Covariance factorization via newton-raphson iteration

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