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A survey of spectral factorization methods

Sayed, Ali H.  
•
Kailath, T.
2001
Numerical Linear Algebra with Applications

Spectral factorization is a crucial step in the solution of linear quadratic estimation and control problems. It is no wonder that a variety of methods has been developed over the years for the computation of canonical spectral factors. This paper provides a survey of several of these methods with special emphasis on clarifying the connections that exist among them. While the discussion focuses primarily on scalar-valued rational spectra, extensions to non-rational and vector-valued spectra are briefly noted.

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