Title :
The partial realization problem for moving average models
Author :
Steinhardt, Allan O.
Author_Institution :
Sch. of Electr. Eng., Cornell Univ., Ithaca, NY, USA
Abstract :
The author considers the problem of finding the minimum-order moving average (MA) model which jointly matches a set of correlation, power spectral, and/or impulse response values. He provides a solution for the case when correlations alone, or correlations and spectral values are specified. The solution rests on a representation of the set of attainable correlation/spectral values which a given order MA model can produce in terms of the eigenstructure of certain Toeplitz matrices. When impulse response values are included, the problem complicates because certain key attainable sets become nonconvex. Bounds for this case, involving generalized eigenvalues are provided
Keywords :
correlation methods; eigenvalues and eigenfunctions; spectral analysis; Toeplitz matrices; correlations; eigenstructure; generalized eigenvalues; impulse response values; moving average models; partial realization problem; power spectrum; spectral values; Eigenvalues and eigenfunctions; Equations; Finite impulse response filter; Kalman filters; Poles and zeros; White noise;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on
Conference_Location :
New York, NY
DOI :
10.1109/ICASSP.1988.197114
