A positive partial realization of time series
2009 (English)In: 17th European Signal Processing Conference (EUSIPCO 2009), 2009, 413-416 p.Conference paper (Refereed)
For a given partial covariance sequence (C 0,C 1,⋯,C n) 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.
Place, publisher, year, edition, pages
2009. 413-416 p.
, European Signal Processing Conference, ISSN 2219-5491
ARMA modeling filter, Covariance extension, McMillan degree constrain
IdentifiersURN: urn:nbn:se:kth:diva-152039ScopusID: 2-s2.0-84863758963OAI: oai:DiVA.org:kth-152039DiVA: diva2:749138
17th European Signal Processing Conference, EUSIPCO 2009, 24 August 2009 through 28 August 2009, Glasgow, United Kingdom
QC 201409232014-09-232014-09-232014-09-23Bibliographically approved