Recursive Algorithm for Spectral Factorization
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Anderson, Brian D.O.
Diem, N. D.
Hitz, Konrad L.
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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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IEEE Transactions on Circuits and Systems
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