• DocumentCode
    841144
  • 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
  • Volume
    28
  • Issue
    11
  • fYear
    1983
  • fDate
    11/1/1983 12:00:00 AM
  • Firstpage
    1051
  • Lastpage
    1055
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1983.1103175
  • Filename
    1103175
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=841144