Stationary discrete-time covariance factorization using Newton-Raphson iteration
نویسندگان
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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ورودعنوان ژورنال:
- MCSS
دوره 5 شماره
صفحات -
تاریخ انتشار 1992