From Finite Covariance Windows to Modeling Filters: A Convex Optimization Approach

DOI10.1137/S0036144501392194zbMath1152.93506MaRDI QIDQ2780623

Sergei V. Gusev, Anders Lindquist, Christopher I. Byrnes

Publication date: 15 April 2002

Published in: SIAM Review (Search for Journal in Brave)

zbMATH Keywords

interpolationspectral estimationstochastic modelingspeech processingtrigonometric moment problemrational covariance extensiongeneral moment problempartial stochastic realization

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Convex programming (90C25) Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Pole and zero placement problems (93B55) Identification in stochastic control theory (93E12)

Related Items (9)

The multidimensional moment problem with complexity constraint ⋮ Spectral estimation by least-squares optimization based on rational covariance extension ⋮ SDP-based approximation of stabilising solutions for periodic matrix Riccati differential equations ⋮ Modeling of Stationary Periodic Time Series by ARMA Representations ⋮ Generalized interpolation in 𝐻^{∞} with a complexity constraint ⋮ New results on the rational covariance extension problem with degree constraint ⋮ Passivity-preserving model reduction by analytic interpolation ⋮ Multidimensional Rational Covariance Extension with Applications to Spectral Estimation and Image Compression ⋮ Semidefinite descriptions of cones defining spectral mask constraints

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