Autoregressive models of singular spectral matrices
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Altmetric Citations
Anderson, Brian; Deistler, Manfred; Chen, Weitian; Filler, Alexander
Description
This paper deals with autoregressive (AR) models of singular spectra, whose corresponding transfer function matrices can be expressed in a stable AR matrix fraction description D- 1(q)B with B a tall constant matrix of full column rank and with the determinantal zeros of D(q) all stable, i.e. in |q|>1,q∈C. To obtain a parsimonious AR model, a canonical form is derived and a number of advantageous properties are demonstrated. First, the maximum lag of the canonical AR model is shown to be...[Show more]
dc.contributor.author | Anderson, Brian | |
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dc.contributor.author | Deistler, Manfred | |
dc.contributor.author | Chen, Weitian | |
dc.contributor.author | Filler, Alexander | |
dc.date.accessioned | 2015-12-10T23:24:46Z | |
dc.identifier.issn | 0005-1098 | |
dc.identifier.uri | http://hdl.handle.net/1885/67342 | |
dc.description.abstract | This paper deals with autoregressive (AR) models of singular spectra, whose corresponding transfer function matrices can be expressed in a stable AR matrix fraction description D- 1(q)B with B a tall constant matrix of full column rank and with the determinantal zeros of D(q) all stable, i.e. in |q|>1,q∈C. To obtain a parsimonious AR model, a canonical form is derived and a number of advantageous properties are demonstrated. First, the maximum lag of the canonical AR model is shown to be minimal in the equivalence class of AR models of the same transfer function matrix. Second, the canonical form model is shown to display a nesting property under natural conditions. Finally, an upper bound is provided for the total number of real parameters in the obtained canonical AR model, which demonstrates that the total number of real parameters grows linearly with the number of rows in W(q). | |
dc.publisher | Pergamon-Elsevier Ltd | |
dc.source | Automatica | |
dc.subject | Keywords: AR models; Ar-matrix; Auto regressive models; Canonical form; Column ranks; Constant matrix; Matrix fraction description; Natural conditions; Spectral matrices; Transfer function matrix; Upper Bound; Equivalence classes; Matrix algebra; Computer simulatio Autoregressive (AR) model; Canonical form; Matrix fraction description | |
dc.title | Autoregressive models of singular spectral matrices | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 48 | |
dc.date.issued | 2012 | |
local.identifier.absfor | 090602 - Control Systems, Robotics and Automation | |
local.identifier.ariespublication | f5625xPUB1440 | |
local.type.status | Published Version | |
local.contributor.affiliation | Anderson, Brian, College of Engineering and Computer Science, ANU | |
local.contributor.affiliation | Deistler, Manfred, Vienna University of Technology | |
local.contributor.affiliation | Chen, Weitian, College of Engineering and Computer Science, ANU | |
local.contributor.affiliation | Filler, Alexander, Vienna Institute of Technolgy | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 11 | |
local.bibliographicCitation.startpage | 2843 | |
local.bibliographicCitation.lastpage | 2849 | |
local.identifier.doi | 10.1016/j.automatica.2012.05.047 | |
local.identifier.absseo | 970109 - Expanding Knowledge in Engineering | |
dc.date.updated | 2016-02-24T08:46:54Z | |
local.identifier.scopusID | 2-s2.0-84867399980 | |
local.identifier.thomsonID | 000310717100012 | |
Collections | ANU Research Publications |
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