NDLI: Covariance estimation in time varying ARMA processes

Content Provider	IEEE Xplore Digital Library
Author	Wiesel, A. Globerson, A.
Copyright Year	2012
Description	Author affiliation: The Hebrew University of Jerusalem, Israel (Wiesel, A.; Globerson, A.)
Abstract	We consider large scale covariance estimation using a small number of samples in applications where there is a natural ordering between the random variables. The two classical approaches to this problem rely on banded covariance and banded inverse covariance structures, corresponding to time varying moving average (MA) and autoregressive (AR) models, respectively. Motivated by this analogy to spectral estimation and the well known modeling power of autoregressive moving average (ARMA) processes, we propose a novel time varying ARMA covariance structure. Similarly to known results in the context of AR and MA, we address the completion of an ARMA covariance matrix from its main band, and its estimation based on random samples. Finally, we examine the advantages of our proposed methods using numerical experiments.
Starting Page	357
Ending Page	360
File Size	351496
Page Count	4
File Format	PDF
ISBN	9781467310703
ISSN	2151870X
e-ISBN	9781467310710
DOI	10.1109/SAM.2012.6250510
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-06-17
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Covariance matrix Estimation Autoregressive processes Vectors Mathematical model Signal processing Equations
Content Type	Text
Resource Type	Article

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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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