Suppose we have an indefinite real symmetric matrix $P$, of (reduced) rank $\alpha$. Then there is a (nonunique) decomposition of the matrix:
P = YMY', where $M = \left[\begin{array}{cc} M_+ & 0 \\ 0 & M_-\end{array}\right]$, where $M_+$ is positive definite and $M_-$ is negative definite.
Rank $M$ = $\alpha$.
I am reading an old control paper: Morf et al. (1974) "Some New Algorithms for Recursive Estimation in Constant, Linear, Discrete-Time Systems," which uses this decomposition, but does not say how to operationalize it. I assume that I am completely missing something, because I have no idea how to implement it.
I have thought about picking sizes for $M_+$ and $M_-$, say of rank $\alpha/2$ each. Then we have
P = Y_1M_{+}Y_1' + Y_2M_-Y_2'
where $Y = [Y_1;Y_2]$ is a conforming partition for $Y$...but I cannot think of anywhere to go from here.