specFact: Compute the spectral factorization of a given p.d. sequence

In tuckermcelroy/sigex: Ecce Signum: Multivariate Signal Extraction

Compute the spectral factorization of a given p.d. sequence

Description

Compute the spectral factorization of a given p.d. sequence

Usage

specFact(poly)

Arguments

poly	A symmetric vector of coefficients, which is p.d.

Value

theta: the spectral factorization, such that poly(z,z^-1) = theta(z) * theta(z^-1)

tuckermcelroy/sigex documentation built on Nov. 14, 2024, 3:28 p.m.