# Spectral factorization

May 5, 2021 — May 7, 2021

dynamical systems

linear algebra

probability

signal processing

state space models

statistics

stochastic processes

time series

Placeholder, for a useful subcategory of Wiener-Hopf methods.

## 1 References

Anderson, Hitz, and Diem. 1974. “Recursive Algorithm for Spectral Factorization.”

*IEEE Transactions on Circuits and Systems*.
Antoulas, ed. 1991.

*Mathematical System Theory: The Influence of R. E. Kalman*.
Bart, Gohberg, and Kaashoek. 1979.

*Minimal Factorization of Matrix and Operator Functions*. Operator Theory, Advances and Applications, v. 1.
Davis. 1963. “Factoring the Spectral Matrix.”

*IEEE Transactions on Automatic Control*.
Gohberg, and Kaashoek. 1991. “The State Space Method for Solving Singular Integral Equations.” In

*Mathematical System Theory: The Influence of R. E. Kalman*.
Kucera. 1991. “Factorization of Rational Spectral Matrices: A Survey of Methods.” In

*International Conference on Control 1991. Control ’91*.
Najafabadi, and Kucerovsky. 2015. “A Weak Approximation for the Wiener–Hopf Factorization.” Edited by Kok Lay Teo.

*Cogent Mathematics*.
Sayed, and Kailath. 2001. “A Survey of Spectral Factorization Methods.”

*Numerical Linear Algebra with Applications*.
Wilson. 1972. “The Factorization of Matricial Spectral Densities.”

*SIAM Journal on Applied Mathematics*.
Youla, Bongiorno, and Jabr. 1976. “Modern Wiener–Hopf Design of Optimal Controllers Part I: The Single-Input-Output Case.”

*IEEE Transactions on Automatic Control*.