Abstract
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 inl 1 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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White, L.B., Anderson, B.D.O. Stationary discrete-time covariance factorization using Newton-Raphson iteration. Math. Control Signal Systems 5, 263–279 (1992). https://doi.org/10.1007/BF01211561
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DOI: https://doi.org/10.1007/BF01211561