A survey of spectral factorization methods
Abstract 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. Copyright © 2001 John Wiley & Sons, Ltd.