Title :
A lattice algorithm for factoring the spectrum of a moving average process
Author :
Friedlander, Benjamin
Author_Institution :
Systems Control Technology, Inc., Palo Alto, CA, USA
fDate :
11/1/1983 12:00:00 AM
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 :
Moving-average processes; Spectral factorizations; Control system analysis; Covariance matrix; Equations; Kalman filters; Lattices; Maximum likelihood detection; Recursive estimation; Smoothing methods; State estimation; Time series analysis;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1983.1103175
