A positive partial realization of time series

Author

Kuroiwa, Yohei

Author_Institution

R. Inst. of Technol., Stockholm, Sweden

fYear

2009

fDate

24-28 Aug. 2009

Firstpage

413

Lastpage

416

Abstract

For a given partial covariance sequence (C₀, C₁, ..., C_n) and for each MA part of the ARMA modeling filter of degree n, an AR part of the ARMA modeling filter of degree n for the solution to the rational covariance extension problem is obtained by solving a nonlinear equation, which is homotopic to a nonlinear equation determining the maximum entropy AR filter.

Keywords

autoregressive moving average processes; covariance analysis; maximum entropy methods; nonlinear equations; nonlinear filters; time series; ARMA modeling filter AR part; ARMA modeling filter MA part; maximum entropy AR filter; nonlinear equation; partial covariance sequence; rational covariance extension problem; time series positive partial realization; Abstracts; Manganese; Mathematical model; Nonlinear equations; Shape; Time series analysis; ARMA modeling filter; Covariance extension; McMillan degree constraint;

fLanguage

English

Publisher

ieee

Conference_Titel

Signal Processing Conference, 2009 17th European

Conference_Location

Glasgow

Print_ISBN

978-161-7388-76-7

Type

conf

Filename

7077478

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=697906