Spectral factorization

May 5, 2021 — May 7, 2021

dynamical systems
linear algebra
probability
signal processing
state space models
statistics
stochastic processes
time series
Figure 1

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.