Stationary discrete-time covariance factorization using Newton-Raphson iteration

Langford B. White*, Brian D.O. Anderson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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 in l1 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.

Original languageEnglish
Pages (from-to)263-279
Number of pages17
JournalMathematics of Control, Signals, and Systems
Volume5
Issue number3
DOIs
Publication statusPublished - Sept 1992

Fingerprint

Dive into the research topics of 'Stationary discrete-time covariance factorization using Newton-Raphson iteration'. Together they form a unique fingerprint.

Cite this