Covariance factorization via Newton-Raphson iteration
نویسنده
چکیده
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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ورودعنوان ژورنال:
- IEEE Trans. Information Theory
دوره 24 شماره
صفحات -
تاریخ انتشار 1978