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Recursive algorithm for spectral factorization

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3 Author(s)

This paper describes a recursive computational algorithm for computing spectral factors of continuous-time and discrete-time power spectrum matrices. The matrices need not be positive definite. Convergence rates of the recursive equation are studied.

Published in:

Circuits and Systems, IEEE Transactions on  (Volume:21 ,  Issue: 6 )

Date of Publication:

Nov 1974

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