| Abstract: | Improving Rozanov (1967, Stationary Random Processes. San Francisco: Holden‐day.)’s algebraic‐analytic solution to the canonical factorization problem of the rational spectral density matrix, this article presents a feasible computational procedure for the spectral factorization. We provide numerical comparisons of our procedure with the Bhansali's (1974, Journal of the Statistical Society, B36 , 61.) and Wilson's (1972 SIAM Journal on Applied Mathematics, 23 , 420) methods and illustrate its application in estimation of invertible MA representation. The proposed procedure is usefully applied to linear predictor construction, causality analysis and other problems where a canonical transfer function specification of a stationary process in question is required. |
