Spectral factorization of random processes with multiplicity one
Nesim Halyo, G. McAlpine · Proceedings of the IEEE · 1972
A fairly general treatment of the spectral factorization problem for scalar processes is presented. Necessary and sufficient conditions for the existence of a scalar dynamic system generating a given covariance function and equations whose solutions yield the system parameters are given. The processes considered are of second order with zero mean, Gaussian, and continuous in quadratic mean; initial conditions are relaxed.