• DocumentCode
    829065
  • Title

    Estimation of partial correlation matrices using Cholesky decomposition

  • Author

    Dickinson, Bradley W.

  • Author_Institution
    Princeton University, Princeton, NJ, USA
  • Volume
    24
  • Issue
    2
  • fYear
    1979
  • fDate
    4/1/1979 12:00:00 AM
  • Firstpage
    302
  • Lastpage
    305
  • 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
    Autoregressive processes; Correlation methods; Least-squares estimation; Spectral estimation; Calculus; Covariance matrix; Filtering; Kernel; Matrix decomposition; Polynomials; Smoothing methods; Stochastic processes; Stochastic systems; Technological innovation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1979.1102008
  • Filename
    1102008
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=829065