A covariance extension approach to identification of time series
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Publication:1975568
DOI10.1016/S0005-1098(99)00172-7zbMath0986.93069MaRDI QIDQ1975568
Anders Dahlén, Anders Lindquist, Jorge Mari
Publication date: 13 June 2002
Published in: Automatica (Search for Journal in Brave)
stochastic model reductionAR-modelmaximum entropy extensioncovariance extensionidentification of time seriespartial covariance sequence
Related Items (6)
Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation ⋮ Spectral estimation by least-squares optimization based on rational covariance extension ⋮ Strong consistency of the regularized least-squares estimates of infinite autoregressive models ⋮ The relation of the CCA subspace method to a balanced reduction of an autoregressive model. ⋮ Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series ⋮ Cepstral identification of autoregressive systems
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