Recursive algorithm for spectral factorization
Published in IEEE Transactions on Circuits and Systems • Nov 1, 1974
Authors:,,
Brian D. O. Anderson
K.L. Hitz
N. D. DIEM
Abstract
This paper describes a recursive computational algorithm for computing spectral factors of continuous-time and discrete-time power spectrum matrices. The matrices need not be positive definite. Convergence rates of the recursive equation are studied.
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