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MA estimation in polynomial time
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology.
2000 (English)In: IEEE TRANSACTIONS ON SIGNAL PROCESSING, ISSN 1053-587X, Vol. 48, no 7, 1999-2012 p.Article in journal (Refereed) Published
Abstract [en]

The parameter estimation of moving-average (MA) signals from second-order statistics was deemed for a long time to be a difficult nonlinear problem for which no computationally convenient and reliable solution was possible. Ln this paper, we show how the

Place, publisher, year, edition, pages
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC , 2000. Vol. 48, no 7, 1999-2012 p.
Keyword [en]
covariance fitting; linear matrix inequalities; linear stochastic systems; moving-average estimation; semidefinite programming; system identification; time-series analysis; SPECTRA
Identifiers
URN: urn:nbn:se:uu:diva-36564OAI: oai:DiVA.org:uu-36564DiVA: diva2:64463
Note
Addresses: Stoica P, Uppsala Univ, Dept Syst & Control, Uppsala, Sweden. Uppsala Univ, Dept Syst & Control, Uppsala, Sweden. Linkoping Univ, Dept Elect Engn, Div Automat Control, S-58183 Linkoping, Sweden. Royal Inst Technol, Stockholm, Sweden.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-14

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