Spectral Factorization of a Class of Matrix‐Valued Spectral Densities

DOI10.1137/040621089MaRDI QIDQ3593017zbMATH OpenOpenAlexWikidataFDO

Authors Hendra I. Nurdin

Publication date 24 September 2007

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/040621089

zbMATH Keywords

spectral factorizationrational approximationrational covariance extensionnonrational spectral density

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Stochastic systems and control (93E99) General second-order stochastic processes (60G12) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Algorithms for approximation of functions (65D15) Approximation in the complex plane (30E10) Approximation by rational functions (41A20)

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Cited in

(10)

• scientific article; zbMATH DE number 4034873 (Why is no real title available?)
• Spectral factorization of matrix-valued functions using interpolation theory
• scientific article; zbMATH DE number 6178415 (Why is no real title available?)
• The spectral density of a product of spectral projections
• On spectral density of Neumann matrices
• On approximate spectral factorization of matrix functions
• scientific article; zbMATH DE number 5305581 (Why is no real title available?)
• Behaviour of the spectral factorization for continuous spectral densities
• New results on the rational covariance extension problem with degree constraint
• Calculating the spectral factorization and outer functions by sampling-based approximations -- fundamental limitations

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