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Modeling of Periodic Time Series by Bilateral ARMA Representations
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0002-2681-8383
2014 (English)In: INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014), 2014, 861-865 p.Conference paper, Published paper (Refereed)
Abstract [en]

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.
Keyword [en]
periodic stationary time series, bilateral ARMA models, moment problems, convex optimization
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-173302ISI: 000359136600097ISBN: 978-84-15814-97-9 (print)OAI: oai:DiVA.org:kth-173302DiVA: diva2:852499
Conference
1st International Work-Conference on Time Series (ITISE), JUN 25-27, 2014, Granada, SPAIN
Note

QC 20150909

Available from: 2015-09-09 Created: 2015-09-09 Last updated: 2015-09-09Bibliographically approved

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Lindquist, Anders

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