Stationary discrete-time covariance factorization using Newton-Raphson iteration

نویسندگان

  • Langford B. White
  • Brian D. O. Anderson
چکیده

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 I1 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.

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عنوان ژورنال:
  • MCSS

دوره 5  شماره 

صفحات  -

تاریخ انتشار 1992