A convergence theorem for spectral factorization

DOI10.1016/0047-259X(78)90073-8zbMATH Open0384.60027OpenAlexW2146528170MaRDI QIDQ1248990FDOQ1248990

Authors: G. Tunnicliffe Wilson 

Publication date: 1978

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(78)90073-8

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
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• The Factorization of Matricial Spectral Densities
• Spectral Factorization of Multiple Time Series
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• A Normal form for a Matrix under the Unitary Congruence Group
• Computer Algorithm for Spectral Factorization of Rational Matrices

Cited In (8)

• Spectral factorization and LQ-optimal regulation for multivariable distributed systems
• CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE
• The spectral factorization problem for multivariable distributed parameter systems
• Statistical analysis of single-trial Granger causality spectra
• Investor attention and the carbon emission markets in China: a nonparametric wavelet-based causality test
• Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator
• Spectral estimation of the multivariate impulse response
• Factorization of moving-average spectral densities by state-space representations and stacking

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