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A numerical algorithm for matrix spectral factorization on the real line

Lasha Ephremidze

Abstract

In this paper, the Janashia-Lagvilava matrix spectral factorization algorithm, which is designed for power spectral density functions defined on the unit circle, is extended to the real line. The proposed algorithm can be used directly for continuous-time models

A numerical algorithm for matrix spectral factorization on the real line

Abstract

In this paper, the Janashia-Lagvilava matrix spectral factorization algorithm, which is designed for power spectral density functions defined on the unit circle, is extended to the real line. The proposed algorithm can be used directly for continuous-time models
Paper Structure (7 sections, 46 equations)

This paper contains 7 sections, 46 equations.

Table of Contents

  1. Introduction
  2. Notation and definitions
  3. Preliminary observations
  4. Auxiliary statements
  5. Description of the algorithm
  6. Concluding thoughts and future work
  7. Acknowledgments

Theorems & Definitions (2)

  • proof
  • proof