用cholesky分解估计偏相关矩阵

1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes Pub Date : 1900-01-01 DOI:10.1109/CDC.1978.267934

B. Dickinson

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引用次数: 21

摘要

描述了一种利用Cholesky分解获得多元过程偏相关矩阵估计的方法。估计提供了观测数据的最小相位自回归模型和正定自相关函数估计。

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Estimation of partial correlation matrices using cholesky decomposition

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.

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来源期刊

1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes

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