Connection between multichannel prediction errorfilter and spectral factorisation
Jonathan G. Cook, S.J. Elliott · Electronics Letters · 1999
A decorrelation technique is used to derive the matrix of causal filters which will reduce any multichannel correlated and coloured data to the underlying set of uncorrelated unit variance white innovation signals. This filter matrix has a stable causal inverse which forms one part of the spectral factorisation of the data set, as used in multichannel Wiener filtering.