Stable spectral factorization with applications to the estimation of time series models

D. S. Poskitt; M. O. Salau

doi:10.1080/03610929308831024

Stable spectral factorization with applications to the estimation of time series models

D. S. Poskitt, M. O. Salau

Research output: Contribution to journal › Article › Research › peer-review

7 Citations (Scopus)

Abstract

A method for generating a miniphase and inveitible spectral factor from an unstable v x v full rank polynomial matrix is proposed. The zeros inside the unit circle are reflected through the boundary

Original language	English
Pages (from-to)	347-367
Number of pages	21
Journal	Communications in Statistics - Theory and Methods
Volume	22
Issue number	2
DOIs	https://doi.org/10.1080/03610929308831024
Publication status	Published - 1 Jan 1993
Externally published	Yes

Keywords

Extended unitary matrix
Hermite normal form
Hermitian matrix
matrix
Miniphase
Polynomial operator
Reflectior
Unimodular
Unit disc
Unitary matrix

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10.1080/03610929308831024

Cite this

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abstract = "A method for generating a miniphase and inveitible spectral factor from an unstable v x v full rank polynomial matrix is proposed. The zeros inside the unit circle are reflected through the boundary",

keywords = "Extended unitary matrix, Hermite normal form, Hermitian matrix, matrix, Miniphase, Polynomial operator, Reflectior, Unimodular, Unit disc, Unitary matrix",

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year = "1993",

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KW - Extended unitary matrix

KW - Hermite normal form

KW - Hermitian matrix

KW - matrix

KW - Miniphase

KW - Polynomial operator

KW - Reflectior

KW - Unimodular

KW - Unit disc

KW - Unitary matrix

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JF - Communications in Statistics - Theory and Methods

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Stable spectral factorization with applications to the estimation of time series models

Abstract

Keywords

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