Efficient inverse Z-transform and Wiener-Hopf factorization
Efficient inverse Z-transform and Wiener-Hopf factorization
We suggest new closely related methods for numerical inversion of $Z$-transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the contours of integration, corresponding changes of variables and the simplified trapezoid rule. As applications, we consider evaluation of high moments of probability distributions and construction …