A lattice algorithm for factoring the spectrum of a moving average process
- 1 November 1983
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 28 (11) , 1051-1055
- https://doi.org/10.1109/tac.1983.1103175
Abstract
Triangular decomposition of the semi-infinite covariance matrix of a moving average process can be used as a spectral factorization technique. An efficient lattice algorithm is derived for performing the necessary computations. This technique is a special case of the fast Cholesky decomposition of stationary covariance matrices. The algorithm can be used to factor multichannel spectra to a desired degree of accuracy.Keywords
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