Optimization with respect to covariance sequence parameters (Q1070991): Difference between revisions

Let \(\rho_ k\) denote the covariance function of some stationary discrete process and let \(\rho =(\rho_ 0,...,\rho_ p)'\), \(p\geq 1\). Consider the problem of optimizing some scalar function f(\(\rho)\). The main difficulty associated with this problem is that the covariance sequence must be nonnegative definite. The paper presents a procedure which overcomes this difficulty by optimizing the problem in terms of the partial autocorrelation function.