A Convex Optimization Approach to ARMA(n,m) Model Design from Covariance and Cepstral Data
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Publication:4652571
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Convex programming (90C25) Realizations from input-output data (93B15) Identification in stochastic control theory (93E12) Measures of information, entropy (94A17)
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- Cepstral identification of autoregressive systems
- M^2-spectral estimation: a relative entropy approach
- Multidimensional rational covariance extension with applications to spectral estimation and image compression
- Modeling of stationary periodic time series by ARMA representations
- Identifiability and Well-Posedness of Shaping-Filter Parameterizations: A Global Analysis Approach
- Multidimensional rational covariance extension with approximate covariance matching
- M^2 spectral estimation: a flexible approach ensuring rational solutions
- A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem
- Periodic vector processes with an internal reciprocal dynamics
- Analyzing the impact of regularization on REMSE
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