On the Linear convergence of a Covariance Factorization Algorithm.

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)

Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1974
Accession Number
AD0781874

Entities

People

  • M. Pagano

Organizations

  • University at Buffalo

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Convergence
  • Covariance
  • Data Science
  • Information Science
  • Mathematics
  • Polynomials
  • Stationary
  • Statistical Algorithms

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Operations Research
  • Theoretical Analysis.