Title :
Estimation of partial correlation matrices using cholesky decomposition
Author_Institution :
Princeton University, Princeton, N.J.
Abstract :
A method for obtaining estimates of the partial correlation matrices of a multivariate process using Cholesky decomposition is described. The estimates provide a minimum phase autoregressive model for the observed data and a positive definite autocorrelation function estimate.
Keywords :
Autocorrelation; Matrix decomposition; Reflection;
Conference_Titel :
Decision and Control including the 17th Symposium on Adaptive Processes, 1978 IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1978.267934
