DocumentCode
3023567
Title
Estimation of partial correlation matrices using cholesky decomposition
Author
Dickinson, B.W.
Author_Institution
Princeton University, Princeton, N.J.
fYear
1979
fDate
10-12 Jan. 1979
Firstpage
268
Lastpage
273
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control including the 17th Symposium on Adaptive Processes, 1978 IEEE Conference on
Conference_Location
San Diego, CA, USA
Type
conf
DOI
10.1109/CDC.1978.267934
Filename
4046121
Link To Document