Modeling of Perturbed Covariance Sequences
Document Type
Article
Date of Original Version
1-1-1986
Abstract
An algorithm for obtaining a state-space (Markovian) model of a random process from a finite number of estimated covariance lags is presented and compared to other SVD-based methods. The new algorithm performs well for small data sets in which the estimated covariance sequence is perturbed by estimation errors, and may not even be positive definite. Simulation results are presented for a second-order Markov process. © 1986 IEEE
Publication Title, e.g., Journal
Proceedings of the IEEE
Volume
74
Issue
4
Citation/Publisher Attribution
Vaccaro, Richard J.. "Modeling of Perturbed Covariance Sequences." Proceedings of the IEEE 74, 4 (1986): 617-619. doi: 10.1109/PROC.1986.13516.
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