Title :
Robust Estimation for Multivariate Time Series
Author :
Kazakos, Demetrios ; Makki, Sam K.
Author_Institution :
Dept. of Electr. Eng. & Comput. Eng., Idaho Univ., Moscow, ID
Abstract :
In this paper we present some new results on the problem of robust estimation for stationary multiple time series processes. For these processes, we consider the prediction, smoothing and causal filtering problem in cases for which the minimum achievable mean square error is expressed in a closed form in terms of the spectral density matrix of the signal. We consider three convex classes of spectral uncertainties, and develop robust solutions for these cases
Keywords :
estimation theory; matrix algebra; mean square error methods; prediction theory; smoothing methods; time series; causal filtering problem; mean square error; multivariate time series; robust estimation; spectral density matrix; spectral uncertainty; Covariance matrix; Drives; Filtering theory; Minimax techniques; Nonlinear filters; Random processes; Robustness; Smoothing methods; Transfer functions; Uncertainty;
Conference_Titel :
Electromagnetic Field Computation, 2006 12th Biennial IEEE Conference on
Conference_Location :
Miami, FL
Print_ISBN :
1-4244-0320-0
DOI :
10.1109/CEFC-06.2006.1633254
