DocumentCode :
61268
Title :
Quaternion VAR Modelling and Estimation
Author :
Ginzberg, P. ; Walden, A. T.
Author_Institution :
Department of Mathematics, Imperial College London, London, UK
Volume :
61
Issue :
1
fYear :
2013
fDate :
Jan.1, 2013
Firstpage :
154
Lastpage :
158
Abstract :
Quaternion vector autoregression (VAR) modeling is a natural extension of real and complex VAR. We demonstrate how a quaternion VAR can be treated as a special case of structured real VAR. We show that generalized least squares and (under Gaussianity) maximum likelihood estimation of the parameters reduces to simple least squares estimation if the innovations are quaternion proper.
Keywords :
Biological system modeling; Covariance matrix; Least squares approximation; Quaternions; Reactive power; Technological innovation; Vectors; Least squares; maximum likelihood; quaternions; vector autoregressive process;
fLanguage :
English
Journal_Title :
Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
1053-587X
Type :
jour
DOI :
10.1109/TSP.2012.2226170
Filename :
6338358
Link To Document :
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