Search for weights in the problem of finite-rank signal estimation in the presence of random noise

DOI10.1134/S1063454121030109zbMath1476.62197OpenAlexW3200277412MaRDI QIDQ2239077

N. K. Zvonarev

Publication date: 2 November 2021

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1063454121030109

zbMATH Keywords

time seriesKullback-Leibler divergenceoptimization methodssignal estimationweighted least square methodfinite-rank series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Uses Software

• LBFGS-B
• CaterpillarSSA

Cites Work

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• Cadzow's basic algorithm, alternating projections and singular spectrum analysis
• Algebraic methods for Toeplitz-like matrices and operators
• Iterative algorithms for weighted and unweighted finite-rank time-series approximations
• Singular spectrum analysis for time series
• Blind deconvolution of covariance matrix inverses for autoregressive processes
• Applications of cumulants to array processing. Part VI. Polarization and direction of arrival estimation with minimally constrained arrays
• Matrix-Based Introduction to Multivariate Data Analysis
• Signal enhancement-a composite property mapping algorithm
• A Limited Memory Algorithm for Bound Constrained Optimization
• A Generalized Least-Square Matrix Decomposition
• On Information and Sufficiency

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