A convergence theorem for spectral factorization

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.

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Year of publication:	1978
Authors:	Wilson, G. Tunnicliffe
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 8.1978, 2, p. 222-232
Publisher:	Elsevier
Subject:	Multivariate spectral factorization Hardy spaces

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005093856