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Stable spectral factorization with applications to the estimation of time series models
Authors:DS Poskitt  MO Salau
Institution:Department of Statistics , Australian National University , Canberra, A.C.T, 2601, Australia
Abstract:A method for generating a miniphase and inveitible spectral factor from an unstable v × v full rank polynomial matrix is proposed. The zeros inside the unit circle are reflected through the boundary |z|=1 using closed form algebraic manipulations. Also included in the procedure is a technique foi determining the stability of a polynomial operator that does not require the explicit construction of the determinant al equation. Application of the technique is illustrated and the implementation of the method in the statistical context of system estimation is discussed.
Keywords:Extended unitary matrix  Hermite normal form  Hermitian matrix  Miniphase  Polynomial operator  Reflection  Unimodular matrix  Unit disc  Unitary matrix
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