Title :
A positive partial realization of time series
Author_Institution :
R. Inst. of Technol., Stockholm, Sweden
Abstract :
For a given partial covariance sequence (C0, C1, ..., Cn) 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;
Conference_Titel :
Signal Processing Conference, 2009 17th European
Conference_Location :
Glasgow
Print_ISBN :
978-161-7388-76-7
