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 matrixH(z)such thatH(z⁻¹)H^T (z)equals the spectral matrix and that bothH(z)andH⁻¹ (z)are stable and nonanticipatory. The purpose of this paper is to present a new method for obtaining such a spectral factorization.