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A convex optimization approach to ARMA modeling
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0002-2681-8383
2008 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 53, no 5, 1108-1119 p.Article in journal (Refereed) Published
Abstract [en]

We formulate a convex optimization problem for approximating any given spectral density with a rational one having a prescribed number of poles and zeros (n poles and m zeros inside the unit disc and their conjugates). The approximation utilizes the Kullback-Leibler divergence as a distance measure. The stationarity condition for optimality requires that the approximant matches n + 1 covariance moments of the given power spectrum and m cepstral moments of the corresponding logarithm, although the latter with possible slack. The solution coincides with one derived by Byrnes, Enqvist, and Lindquist who addressed directly the question of covariance and cepstral matching. Thus, the present paper provides an approximation theoretic justification of such a problem. Since the approximation requires only moments of spectral densities and of their logarithms, it can also be used for system identification.

Place, publisher, year, edition, pages
2008. Vol. 53, no 5, 1108-1119 p.
Keyword [en]
ARMA modeling, cepstral coefficients, convex optimization, covariance, matching, cepstral coefficients, covariance
URN: urn:nbn:se:kth:diva-17794DOI: 10.1109/tac.2008.923684ISI: 000258868400002ScopusID: 2-s2.0-51749100240OAI: diva2:335839
QC 20100525Available from: 2010-08-05 Created: 2010-08-05Bibliographically approved

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