Computationally efficient stochastic realization for internal multiscale autoregressive models

Multidimensional Systems and Signal Processing

Volumn 12, Issue 2, 2001, Pages 109-142

  Frakt, Austin B ^a   Willsky, Alan S ^b  

^a ABT ASSOCIATES   (United States)

^b Massachusetts Institute of Technology   (United States)

Author keywords

Graphical models; Markov models; Multiscale autoregressive models; Predictive efficiency; State space; Stochastic realization

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; MATHEMATICAL MODELS; REGRESSION ANALYSIS;

MULTISCALE AUTOREGRESSION (MAR);

MARKOV PROCESSES;

EID: 0035304538     PISSN: 09236082     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1011184728562     Document Type: Article

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