A convergence theorem for spectral factorization

G. Tunnicliffe Wilson

Journal of Multivariate Analysis, 1978, vol. 8, issue 2, 222-232

Abstract: This paper presents a convergence theorem for an iterative method of spectral factorization in the context of multivariate prediction theory. It may be viewed as a constructive proof that the factorization exists, using only the analytic results of Hardy space theory.

Keywords: Multivariate; spectral; factorization; Hardy; spaces (search for similar items in EconPapers)
Date: 1978
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Citations: View citations in EconPapers (7)

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