Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences

DOI10.1109/TASSP.1983.1164049MaRDI QIDQ3680122zbMATH OpenOpenAlexFDO

Authors Yujiro Inouye

Publication date 1983

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tassp.1983.1164049

zbMATH Keywords

general casenondegenerate casemultichannel time seriesextrapolation of matrix-valued autocorrelation sequencesmultichannel Levinson algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Data smoothing in stochastic control theory (93E14)

Recommendations

• Autoregressive models for matrix-valued time series
• Autoregressive model fitting for multichannel time series of degenerate rank: Limit properties
• Prediction of multivariate time series by autoregressive model fitting
• Time-frequency analysis of multichannel signals using two-sided autoregressive modeling
• On Estimating Multimodal Spectra of Time Series
• Modeling of time series arrays by multistep prediction or likelihood methods.
• scientific article; zbMATH DE number 4147357
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• Multi-scale transition matrix approach to time series

Cited in

(4)

• scientific article; zbMATH DE number 3996948 (Why is no real title available?)
• Solutions of Yule-Walker equations for singular AR processes
• Autoregressive model fitting for multichannel time series of degenerate rank: Limit properties
• Modeling autocorrelation functions of long-range dependent teletraffic series based on optimal approximation in Hilbert space -- a further study

This page was built for publication: Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3680122)