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English | A covariance extension approach to identification of time series |
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A covariance extension approach to identification of time series (English)
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13 June 2002
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In this beautiful paper, the authors analyze a three-step procedure for identification of time series. First, a partial covariance sequence based on a finite time series is constructed. Second, using the maximum entropy extension, an AR-model with degree \(m\) is constructed. Third, via a stochastic model reduction procedure, an \(n\)-degree approximation, with \(n\) much smaller than \(m\), is determined. Now follows the real meat of the paper. Supposing the data is generated from a true finite-dimensional system that is minimum phase, it is shown that the transfer function of the estimated system tends in \({\mathcal H}^\infty\) to the true transfer function as the length of the time series tends to infinity. The proposed procedure, and some of its variations, are evaluated by simulations.
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covariance extension
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identification of time series
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partial covariance sequence
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maximum entropy extension
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AR-model
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stochastic model reduction
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