Factorization of discrete-process spectral matrices (Corresp.)

In this correspondence, we consider factoring the spectral matrix of discrete-time systems. The factoring involves finding a matrix H(z) such that H(z^{-1})H^T (z) equals the spectral matrix and that both H(z) and H^{-1} (z) are stable and nonanticipatory. The purpose of this paper is to present a new method for obtaining such a spectral factorization.