A Globally Convergent Matricial Algorithm for Multivariate Spectral Estimation

DOI10.1109/TAC.2009.2028977zbMath1367.62093arXiv0809.5024MaRDI QIDQ4974769

Michele Pavon, Augusto Ferrante, Federico Alessandro Ramponi

Publication date: 8 August 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.5024

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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