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

nonrational spectral densityrational approximationrational covariance extensionspectral factorization

Mathematics Subject Classification ID

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

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Cited in

(10)

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

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