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innovations - PSD Factorization PSD PSD rational and...

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PSD Factorization PSD Factorization PSD rational and analytic in the ring : ρ · |z| · 1/ ρ . PSD is real and positive on the UC Then a spectral factorization is valid: For white-noise based processes: Implications of PSD Factorization Random signal linearly equivalent to innovations: Orthonormal signal expansion: Poles and zeroes come in conjugate-reciprocal pairs: Innovations Process Wold’s decomposition for a WSS process Linear predictor: Prediction error linearly related to signal:
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