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

Autor:	Donald Poskitt, M. O. Salau
Rok vydání:	1993
Předmět:	Statistics and Probability Algebra Matrix (mathematics) Unit circle Factorization Boundary (topology) Applied mathematics Spectral theorem Algebraic number Hermite normal form Polynomial matrix Mathematics
Zdroj:	Communications in Statistics - Theory and Methods. 22:347-367
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610929308831024
Popis:	A method for generating a miniphase and inveitible spectral factor from an unstable v × v full rank polynomial matrix is proposed. The zeros inside the unit circle are reflected through the boundary |z|=1 using closed form algebraic manipulations. Also included in the procedure is a technique foi determining the stability of a polynomial operator that does not require the explicit construction of the determinant al equation. Application of the technique is illustrated and the implementation of the method in the statistical context of system estimation is discussed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6e9aed6e870191d380814ab2bd65198a https://doi.org/10.1080/03610929308831024 Zobrazit plný text záznamu