On Noncausal Identification of Nonstationary Multivariate Autoregressive Processes

被引：0
|
作者：
Niedzwiecki, Maciej [1 ]
Ciolek, Marcin [1 ]
机构：
[1] Gdansk Univ Technol, Fac Elect Telecommun & Comp Sci, Dept Automat Control, PL-80233 Gdansk, Poland
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 2019年 / 67卷 / 03期
关键词：
System identification; adaptive order and bandwidth selection; nonstationary autoregressive processes; time series analysis; REGRESSION; SELECTION;
D O I：
10.1109/TSP.2018.2885480
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
The problem of identification of nonstationary multivariate autoregressive processes using noncausal local estimation schemes is considered and a new approach to joint selection of the model order and the estimation is proposed. The new selection rule, based on evaluation of pseudoprediction errors, is compared with the previously proposed one, based on the modified Akaike's final prediction error criterion.
引用
收藏
页码：769 / 782
页数：14
相关论文
共 50 条
  • [31] Rate-distortion functions for nonstationary Gaussian autoregressive processes
    Gray, Robert M.
    Hashimoto, Takeshi
    DCC: 2008 DATA COMPRESSION CONFERENCE, PROCEEDINGS, 2008, : 53 - +
  • [32] Blind adaptive filtering using multivariate noncausal autoregressive modeling for wireless communication systems with antenna arrays
    Martone, M
    IEEE GLOBECOM 1996 - CONFERENCE RECORD, VOLS 1-3: COMMUNICATIONS: THE KEY TO GLOBAL PROSPERITY, 1996, : 1468 - 1472
  • [33] AUTOREGRESSIVE REPRESENTATIONS OF MULTIVARIATE STATIONARY STOCHASTIC-PROCESSES
    POURAHMADI, M
    PROBABILITY THEORY AND RELATED FIELDS, 1988, 80 (02) : 315 - 322
  • [34] Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes
    Chen, Zhanshou
    Tian, Zheng
    Qin, Ruibing
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2011, 40 (07) : 1254 - 1270
  • [35] Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise
    Liu, Lijuan
    Ding, Feng
    Zhu, Quanmin
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2018, 49 (13) : 2763 - 2775
  • [36] ASYMPTOTIC PROPERTIES OF MULTIVARIATE NONSTATIONARY PROCESSES WITH APPLICATIONS TO AUTOREGRESSIONS
    TSAY, RS
    TIAO, GC
    ANNALS OF STATISTICS, 1990, 18 (01): : 220 - 250
  • [37] Nonstationary multivariate Gaussian processes for electronic health records
    Meng, Rui
    Soper, Braden
    Lee, Herbert K. H.
    Liu, Vincent X.
    Greene, John D.
    Ray, Priyadip
    JOURNAL OF BIOMEDICAL INFORMATICS, 2021, 117
  • [38] SIMULATION OF MULTIVARIATE NONSTATIONARY RANDOM-PROCESSES BY FFT
    LI, YS
    KAREEM, A
    JOURNAL OF ENGINEERING MECHANICS-ASCE, 1991, 117 (05): : 1037 - 1058
  • [39] A GENERALIZED CONVOLUTION MODEL FOR MULTIVARIATE NONSTATIONARY SPATIAL PROCESSES
    Majumdar, Anandamayee
    Paul, Debashis
    Bautista, Dianne
    STATISTICA SINICA, 2010, 20 (02) : 675 - 695
  • [40] Multivariate Sparse Coding of Nonstationary Covariances with Gaussian Processes
    Li, Rui
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 32 (NIPS 2019), 2019, 32
12345