A robust approach to ARMA factor modeling

DOI10.1109/TAC.2023.3274710MaRDI QIDQ6575755zbMATH OpenFDO

Authors Lucia Falconi, Augusto Ferrante, Mattia Zorzi

Publication date 21 July 2024

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

Full work available at URL https://doi.org/10.1109/TAC.2023.3274710

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Programming in abstract spaces (90C48) System identification (93B30) Estimation and detection in stochastic control theory (93E10)

Cited in

(1)

• Low-rank plus diagonal approximations for Riccati-like matrix differential equations

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