ESTIMATION OF PARTIAL CORRELATION MATRICES USING CHOLESKY DECOMPOSITION

被引：16

作者：

DICKINSON, BW

机构：

[1] Department of Electrical Engineering and Computer Science, Princeton University, Princeton

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1979年 / 24卷 / 02期

关键词：

D O I：

10.1109/TAC.1979.1102008

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A method for obtaining estimates of the partial correlation matrices of a multivariate process using Cholesky decomposition is described. The estimates provide a minimum phase autoregressive model for the observed data and a positive definite autocorrelation function estimate. Copyright © 1979 by The Institute of Electrical and Electronics Engineers Inc.

引用

页码：302 / 305

页数：4

共 18 条

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[4] AUTOREGRESSIVE ESTIMATION USING RESIDUAL ENERGY RATIOS
DICKINSON, BW
[J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 1978, 24 (04) : 503 - 506
[5] DICKINSON BW, 1977 P C INF SCI SYS, P507
[6] DICKINSON BW, UNPUBLISHED
[7] FORSYTHE GE, 1967, COMPUTER SOLUTION LI
[8] Golub G. H., 1970, Integer and nonlinear programming, P229
[9] IDENTIFICATION AND AUTOREGRESSIVE SPECTRUM ESTIMATION
JONES, RH
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (06) : 894 - 898
[10] JONES RH, 1978, APPLIED TIME SERIES

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