J. Rissanen, Mati Wax
IEEE Trans. Inf. Theory
In this paper a prediction theory is developed under the general idea that the infinite dimensional covariance matrix is a self-adjoint element in a symmetric Banach algebra. The usual Wiener's spectral factorization method for solving stationary Wiener-Hopf equations has been extended to this algebra. Finally, a theorem for factoring a positive definite covariance matrix into upper and lower triangular factors with similar inverses has been proved. © 1969 Springer-Verlag.
J. Rissanen, Mati Wax
IEEE Trans. Inf. Theory
Thomas Kailath, J. Rissanen
CDC 1971
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Econometric Theory
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