Accession Number : AD0781874
Title : On the Linear convergence of a Covariance Factorization Algorithm.
Descriptive Note : Technical rept.,
Corporate Author : STATE UNIV OF NEW YORK BUFFALO STATISTICAL LAB
Personal Author(s) : Pagano,M.
Report Date : JUN 1974
Pagination or Media Count : 22
Abstract : 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)
Descriptors : *Time series analysis, Matrices(Mathematics), Convergence, Algorithms, Theorems
Subject Categories : Theoretical Mathematics
Distribution Statement : APPROVED FOR PUBLIC RELEASE