A Convex Optimization Approach to ARMA Modeling

DOI10.1109/TAC.2008.923684MaRDI QIDQ4974227zbMATH OpenFDO

Authors Tryphon T. Georgiou, Anders Lindquist

Publication date 8 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2008.923684

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Convex programming (90C25) Applications of mathematical programming (90C90)

Cited in

(5)

• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• Information matrix and D-optimal design with Gaussian inputs for Wiener model identification
• Variance error, interpolation and experiment design
• A maximum entropy approach to the realizability of spin correlation matrices
• On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators

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