On the Linear convergence of a Covariance Factorization Algorithm.
STATE UNIV OF NEW YORK BUFFALO STATISTICAL LAB
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An algorithm for factoring a covariance function into its Hurwitz factors, which is based on the Cholesky factors of a certain matrix, was proposed by F. L. Bauer and others. This algorithm bears a close connection to the theory of orthogonal polynomials and, more closely, to the theory of prediction of stationary time series. In the paper the author points out and capitalizes on these connections to yield a proof of the linear convergence of this algorithm. Modified author abstract
- Theoretical Mathematics