A numerical method for factorizing the rational spectral density matrix

Improving Rozanov (1967, Stationary Random Processes. San Francisco: Holden-day.)'s algebraic-analytic solution to the canonical factorization problem of the rational spectral density matrix, this article presents a feasible computational procedure for the spectral factorization. We provide numerical comparisons of our procedure with the Bhansali's (1974, Journal of the Statistical Society, <b>B36</b>, 61.) and Wilson's (1972 SIAM Journal on Applied Mathematics, <b>23</b>, 420) methods and illustrate its application in estimation of invertible MA representation. The proposed procedure is usefully applied to linear predictor construction, causality analysis and other problems where a canonical transfer function specification of a stationary process in question is required. Copyright Copyright 2010 Blackwell Publishing Ltd