Modeling of Periodic Time Series by Bilateral ARMA Representations
2014 (English)In: INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014), 2014, 861-865 p.Conference paper (Refereed)
In this extended abstract for an oral presentation we describe a moment-based approach to modeling of stationary, periodic time series from a finite sequence of covariance lags. We present a complete parameterization of a family of solutions and a convex optimization procedure to determine each solution, which is seen to be represented as a bilateral ARMA model.
Place, publisher, year, edition, pages
2014. 861-865 p.
periodic stationary time series, bilateral ARMA models, moment problems, convex optimization
IdentifiersURN: urn:nbn:se:kth:diva-173302ISI: 000359136600097ISBN: 978-84-15814-97-9OAI: oai:DiVA.org:kth-173302DiVA: diva2:852499
1st International Work-Conference on Time Series (ITISE), JUN 25-27, 2014, Granada, SPAIN
QC 201509092015-09-092015-09-092015-09-09Bibliographically approved