The Circulant Rational Covariance Extension Problem: The Complete Solution

DOI10.1109/TAC.2013.2270591MaRDI QIDQ5353399zbMATH OpenFDO

Authors Anders Lindquist, Giorgio Picci

Publication date 8 September 2017

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

Full work available at URL https://arxiv.org/abs/1208.6286

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Moment problems and interpolation problems in the complex plane (30E05) Algebraic methods (93B25) Realizations from input-output data (93B15)

Abstract: The rational covariance extension problem to determine a rational spectral density given a finite number of covariance lags can be seen as a matrix completion problem to construct an infinite-dimensional positive-definite Toeplitz matrix the north-west corner of which is given. The circulant rational covariance extension problem considered in this paper is a modification of this problem to partial stochastic realization of reciprocal and periodic stationary process, which are better represented on the discrete unit circle $mathbb{Z}_{2N}$ rather than on the discrete real line $mathbbZ$. The corresponding matrix completion problem then amounts to completing a finite-dimensional Toeplitz matrix that is circulant. Another important motivation for this problem is that it provides a natural approximation, involving only computations based on the fast Fourier transform, for the ordinary rational covariance extension problem, potentially leading to an efficient numerical procedure for the latter. The circulant rational covariance extension problem is an inverse problem with infinitely many solutions in general, each corresponding to a bilateral ARMA representation of the underlying periodic (reciprocal) process. In this paper we present a complete smooth parameterization of all solutions and convex optimization procedures for determining them. A procedure to determine which solution that best matches additional data in the form of logarithmic moments is also presented.

Cited in

(10)

• Space and spectral domain relative entropy for homogeneous random fields
• Modeling of stationary periodic time series by ARMA representations
• A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem
• Periodic vector processes with an internal reciprocal dynamics
• Multidimensional rational covariance extension with approximate covariance matching
• On the Covariance Completion Problem Under a Circulant Structure
• \(M^2\) spectral estimation: a flexible approach ensuring rational solutions
• Multidimensional rational covariance extension with applications to spectral estimation and image compression
• \(M^2\)-spectral estimation: a relative entropy approach
• Sparse plus low-rank identification for dynamical latent-variable graphical AR models

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