A Lattice Algorithm for Factoring the Spectrum of a Moving Average Process

IEEE Transactions on Automatic Control

Volumn 28, Issue 11, 1983, Pages 1051-1055

  Friedlander, Benjamin ^a  

^a Systems Control Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEMS, STOCHASTIC;

CONTROL SYSTEMS, OPTIMAL;

EID: 0020848033     PISSN: 00189286     EISSN: 15582523     Source Type: Journal    
DOI: 10.1109/TAC.1983.1103175     Document Type: Article

References (10)

1. G.E.P. Box and G.M. Jenkins, Time Series Analysis'. Forecasting and Control. San Francisco. CA: Holden-Day, 1970.
2. T. Kailath, “A view of three decades of linear filtering theory,” IEEE Trans. Inform. Theory, vol. IT-20, pp. 146–181, Mar. 1974.
3. F.L. Bauer, “Ein direktes Iterationsverfahren zur Hurwitz-Zerlegung eines Polynoms,” Mittcilung au dcm Mathematischen Institut der Technischen Hochschule Muenchen, Archiv der Elektrischen, Ubertragung, vol. 9, pp. 285–290, 1955.
4. G.T. Wilson, “Factorization of the covariance generating function of a pure moving-average process,” SIAM J. Numer. Anal., vol. 6. pp. 1–7, Mar. 1969.
5. G.T. Wilson, “The factorization of matricial spectral densities,” SIAM J. Appl. Math., vol. 23, pp. 420–426, Dec. 1972.
6. B. Friedlander, “Lattice methods for adaptive processing,” Proc. IEEE, vol. 70, pp. 829–867, Aug. 1982.
7. D. Lee, M. Morf. and B. Friedlander, “Recursive square-root ladder estimation algorithms,” IEEE Trans. Acoust., Speech, Signal Processing, vol. ASSP-29, pp. 627–641, June 1981.
8. B. Friedlander, “Lattice methods for spectral estimation,” Proc. IEEE, vol. 70, pp. 990–1017, Sept. 1982.
9. B. Friedlander. “A lattice algorithm for factoring the spectrum of a moving average process,” in Proc. Conf. on Inform. Sci. and Syst., Princeton. NJ, Mar. 1983.
10. M. Morf, C.H. Muravchik, P.H. Ang, and J.-M. Delosme, “Fast Cholesky algorithm and adaptive feedback filters,” in Proc. IEEE Int. Conf. Acoust., Speech, Signal Processing, Paris. France. May 1982, pp. 1727–1731.