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 language | English |
---|---|
Pages (from-to) | 263-279 |
Number of pages | 17 |
Journal | Mathematics of Control, Signals, and Systems |
Volume | 5 |
Issue number | 3 |
DOIs | |
Publication status | Published - Sept 1992 |