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A convergence theorem for spectral factorization


  • Wilson, G. Tunnicliffe


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.

Suggested Citation

  • Wilson, G. Tunnicliffe, 1978. "A convergence theorem for spectral factorization," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 222-232, June.
  • Handle: RePEc:eee:jmvana:v:8:y:1978:i:2:p:222-232

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    Cited by:

    1. Yuzo Hosoya & Taro Takimoto, 2010. "A numerical method for factorizing the rational spectral density matrix," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 229-240, July.
    2. Li, Lei M., 2005. "Factorization of moving-average spectral densities by state-space representations and stacking," Journal of Multivariate Analysis, Elsevier, vol. 96(2), pages 425-438, October.


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