Generalized maximum entropy based identification of graphical ARMA models

DOI10.1016/j.automatica.2022.110319zbMath1491.93030OpenAlexW4293254229WikidataQ114204814 ScholiaQ114204814MaRDI QIDQ2139439

Junyao You, Jian Sun, Jie Chen, Chengpu Yu

Publication date: 17 May 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110319

zbMATH Keywords

generalized maximum entropytopology selectiongraphical ARMA models

Mathematics Subject Classification ID

Convex programming (90C25) System identification (93B30)

Related Items (4)

Least squares parameter estimation and multi-innovation least squares methods for linear fitting problems from noisy data ⋮ Separable synthesis gradient estimation methods and convergence analysis for multivariable systems ⋮ Inverse linear quadratic dynamic games using partial state observations ⋮ Multi-innovation gradient estimation algorithms and convergence analysis for feedback nonlinear equation-error moving average systems

Uses Software

• glasso
• itsmr

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• A Bayesian analysis of the minimum AIC procedure
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Autoregressive identification of Kronecker graphical models
• Identification of affinely parameterized state-space models with unknown inputs
• Empirical Bayesian learning in AR graphical models
• High-dimensional graphs and variable selection with the Lasso
• Autoregressive model fitting for control
• System identification approach for inverse optimal control of finite-horizon linear quadratic regulators
• A new approach to spectral estimation: a tunable high-resolution spectral estimator
• AR Identification of Latent-Variable Graphical Models
• Graph Implementations for Nonsmooth Convex Programs
• Introduction to Time Series and Forecasting
• A generalized entropy criterion for Nevanlinna-Pick interpolation with degree constraint
• Matrix-valued nevanlinna-pick interpolation with complexity constraint: an optimization approach
• A robust solver using a continuation method for Nevanlinna-Pick interpolation with degree constraint
• ARMA Identification of Graphical Models
• Detection of Changes in Multivariate Time Series With Application to EEG Data
• Constrained Subspace Method for the Identification of Structured State-Space Models (COSMOS)
• Graphical interaction models for multivariate time series.
• A new look at the statistical model identification

This page was built for publication: Generalized maximum entropy based identification of graphical ARMA models