A lattice algorithm for factoring the spectrum of a moving average process

DOI10.1109/TAC.1983.1103175MaRDI QIDQ3663149zbMATH OpenOpenAlexFDO

Authors Benjamin Friedlander

Publication date 1983

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1983.1103175

zbMATH Keywords

moving average processspectral factorizationlattice algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Factorization of matrices (15A23) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(1)

• Fast block Toeplitz orthogonalization

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