Autoregressive Model Fitting for Multichannel Time Series of Degenerate Rank: Limit Properties

IEEE Transactions on Circuits and Systems

Volumn 32, Issue 3, 1985, Pages 252-259

  Inouye, Yujiro ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

SIGNAL FILTERING AND PREDICTION;

AUTOREGRESSIVE MODEL; DEGENERATE RANK CASE; MULTICHANNEL TIME SERIES;

PROBABILITY;

EID: 0022028254     PISSN: 00984094     EISSN: None     Source Type: Journal    
DOI: 10.1109/TCS.1985.1085698     Document Type: Article

References (12)

1. Ya. L. Geronimus, Polynomials Orthogonal on a Circle and Integral. (translated from Russian). London, England: Pergamon, 1960.
2. V. Grenander and G. Szegö, Toeplitz Forms and their Applications. CA: Univ. California Press, 1958.
3. P. Delsarte, Y. V. Genin, and Y. G. Kamp, “Orthogonal polynomial matrices on the unit circle,” IEEE Trans. Circuits Syst., vol. CAS-25, pp. 149–160, Mar. 1978.
4. M. Morf, A. Vieira, D. T. L. Lee, and T. Kailath, “Recursive multichannel maximum entropy spectral estimation,” IEEE Trans. Geosci. Electron., vol. GE-16, pp. 85–94, Apr. 1978.
5. Y. Inouye, “Autoregressive model fitting and Levinson algorithm in the multichannel degenerate case,” IEEE Trans. Automat. Contr., vol. AC-28, pp. 94–95, Jan. 1983.
6. __, “Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences,” IEEE Trans. Acoust., Speech, Signal Processing, vol. ASSP-31, pp. 45–55, Feb. 1983.
7. Y. Inouye, “Approximation of multichannel time series by autoregressive gressive processes in the degenerate case,” in Proc. Hokkaido Chap. Soc. Instrum. and Contr. Eng., (Japan), Jan. 1981 (in Japanese).
8. M. Tsuji, Theory of Complex Functions. Tokyo, Japan, Maki-Shoten, Shoten, 1968 (in Japanese).
9. A. I. Markushevich, Theory of Functions of a Complex Variable, I. (translated from Russian), Englewood Cliffs, NJ: Prentice-Hall, 1955.
10. N. Wiener and P. Masani, “The prediction theory of multivariate stochastic processes, I,” Acta Math., vol. 98, pp. 111–150, 1957.
11. __, “The prediction theory of multivariate stochastic processes, II,” Acta Math., vol. 9, pp. 93–139, 1958.
12. Yu. A. Rozanov, Stationary Random Process. (translated from Russian), San Francisco, CA: Holden-Day, 1967.