Spectral Factorization of Rank-Deficient Rational Densities
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Abstract: Though there have been hundreds of methods on solving rational spectral factorization, most of them are based on a positive definite density matrix assumption. In this work, we propose a novel approach on the spectral factorization of a low rank spectral density, to a minimum phase full rank factor. Compared with other several approaches on low rank spectral factorizations, our approach uses the deterministic relation inside a factor, leading to a high computation efficiency. In addition, we shall show that this method is easily used in identification of low rank processes and Wiener Filter.
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- scientific article; zbMATH DE number 720265
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