Applications of the Periodogram Method for Perturbed Block Toeplitz Matrices in Statistical Signal Processing

Applications of the Periodogram Method for Perturbed Block Toeplitz Matrices in Statistical Signal Processing

In this paper, we combine the periodogram method for perturbed block Toeplitz matrices with the Cholesky decomposition to give a parameter estimation method for any perturbed vector autoregressive (VAR) or vector moving average (VMA) process, when we only know a perturbed version of the sequence of...

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Bibliographic Details
Main Authors: Jesús Gutiérrez-Gutiérrez, Xabier Insausti, Marta Zárraga-Rodríguez
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Mathematics
Subjects:
parameter estimation
periodogram method for perturbed block Toeplitz matrices
the Cholesky decomposition
vector autoregressive (VAR) processes
vector moving average (VMA) processes
Online Access:https://www.mdpi.com/2227-7390/8/4/582

Internet

https://www.mdpi.com/2227-7390/8/4/582

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