Generalized Schur Parametrization and Orthogonal Modeling Algorithms for Second-Order Time-Series

被引：0
|
作者：
Libal, Urszula [1 ]
Magiera, Wladyslaw [1 ]
Wielgus, Agnieszka [1 ]
机构：
[1] Wroclaw Univ Sci & Technol, Fac Elect, Signal Proc Syst Dept, Wyb Wyspianskiego 27, PL-50370 Wroclaw, Poland
来源：
2017 SIGNAL PROCESSING SYMPOSIUM (SPSYMPO) | 2017年
关键词：
Schur parametrization; second-order non-stationary stochastic processes; stochastic modeling;
D O I：
暂无
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：
We present algorithms for orthogonal Schur parametrization, innovations transformation and stochastic modeling of second-order non-stationary time-series, showing statistical equivalence (in a weak second-order sense) of the parametrized and modeled time-series.
引用
收藏
页数：6
相关论文
共 50 条
  • [41] Analyzing a stochastic time series obeying a second-order differential equation
    Lehle, B.
    Peinke, J.
    PHYSICAL REVIEW E, 2015, 91 (06):
  • [42] IMPLICITLY RESTARTED GENERALIZED SECOND-ORDER ARNOLDI TYPE ALGORITHMS FOR THE QUADRATIC EIGENVALUE PROBLEM
    Jia, Zhongxiao
    Sun, Yuquan
    TAIWANESE JOURNAL OF MATHEMATICS, 2015, 19 (01): : 1 - 30
  • [43] Workshop on Algorithms for Time-Series Analysis
    Protopapas, Pavlos
    NEW HORIZONS IN TIME-DOMAIN ASTRONOMY, 2012, (285): : 271 - 271
  • [44] FRACTIONAL TIME-SERIES MODELING
    LI, WK
    MCLEOD, AI
    BIOMETRIKA, 1986, 73 (01) : 217 - 221
  • [45] MODELING MACROECONOMIC TIME-SERIES
    PROTHERO, DL
    WALLIS, KF
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 1976, 139 : 468 - 500
  • [46] MODELING OF NONSTATIONARY TIME-SERIES
    PRASAD, SN
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1984, 18 (02) : 236 - 237
  • [47] TIME-SERIES MODELING AND INTERPRETATION
    GRANGER, CWJ
    MORRIS, MJ
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 1976, 139 : 246 - 257
  • [48] MODELING SEASONAL TIME-SERIES
    CLEVELAND, WP
    TIAO, GC
    ECONOMIE APPLIQUEE, 1979, 32 (01): : 107 - 129
  • [49] ARMA MODELING OF TIME-SERIES
    CADZOW, JA
    IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE, 1982, 4 (02) : 124 - 128
  • [50] MODELING NONNORMAL 1ST-ORDER AUTOREGRESSIVE TIME-SERIES
    SIM, CH
    JOURNAL OF FORECASTING, 1994, 13 (04) : 369 - 381
12345