A Convex Optimization Approach to ARMA(n,m) Model Design from Covariance and Cepstral Data

DOI10.1137/S0363012901399751zbMath1096.94014MaRDI QIDQ4652571

P. Enqvist

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

entropyconvex optimizationcovarianceARMAcepstrum

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Convex programming (90C25) Identification in stochastic control theory (93E12) Measures of information, entropy (94A17) Realizations from input-output data (93B15)

Related Items (8)

\(M^2\)-spectral estimation: a relative entropy approach ⋮ Modeling of Stationary Periodic Time Series by ARMA Representations ⋮ A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem ⋮ Periodic vector processes with an internal reciprocal dynamics ⋮ Multidimensional Rational Covariance Extension with Approximate Covariance Matching ⋮ Multidimensional Rational Covariance Extension with Applications to Spectral Estimation and Image Compression ⋮ M$^2$ Spectral Estimation: A Flexible Approach Ensuring Rational Solutions ⋮ Cepstral identification of autoregressive systems

This page was built for publication: A Convex Optimization Approach to ARMA(n,m) Model Design from Covariance and Cepstral Data