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A positive partial realization of time series
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
2009 (English)In: 17th European Signal Processing Conference (EUSIPCO 2009), 2009, 413-416 p.Conference paper, Published paper (Refereed)
Abstract [en]

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.
Series
European Signal Processing Conference, ISSN 2219-5491
Keyword [en]
ARMA modeling filter, Covariance extension, McMillan degree constrain
National Category
Other Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-152039Scopus ID: 2-s2.0-84863758963OAI: oai:DiVA.org:kth-152039DiVA: diva2:749138
Conference
17th European Signal Processing Conference, EUSIPCO 2009, 24 August 2009 through 28 August 2009, Glasgow, United Kingdom
Note

QC 20140923

Available from: 2014-09-23 Created: 2014-09-23 Last updated: 2014-09-23Bibliographically approved

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