Search for weights in the problem of finite-rank signal estimation in the presence of random noise

DOI10.1134/S1063454121030109MaRDI QIDQ2239077zbMATH OpenOpenAlexFDO

Authors N. K. Zvonarev

Publication date 2 November 2021

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1063454121030109

zbMATH Keywords

time seriesKullback-Leibler divergenceoptimization methodssignal estimationweighted least square methodfinite-rank series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• A generalized least-square matrix decomposition
• Algebraic methods for Toeplitz-like matrices and operators
• Analysis of time series structure. SSA and related techniques
• Applications of cumulants to array processing. VI: Polarization and direction of arrival estimation with minimally constrained arrays
• Blind deconvolution of covariance matrix inverses for autoregressive processes
• Cadzow's basic algorithm, alternating projections and singular spectrum analysis
• Iterative algorithms for weighted and unweighted finite-rank time-series approximations
• Matrix-based introduction to multivariate data analysis
• On Information and Sufficiency
• Signal enhancement-a composite property mapping algorithm
• Singular spectrum analysis for time series

Cited in

(1)

• Iterative algorithms for weighted and unweighted finite-rank time-series approximations

Describes a project that uses

Uses Software

• CaterpillarSSA
• LBFGS-B

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