ESTIMATION OF PARTIAL CORRELATION MATRICES USING CHOLESKY DECOMPOSITION

被引：16

作者：

DICKINSON, BW

机构：

[1] Department of Electrical Engineering and Computer Science, Princeton University, Princeton

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1979年 / 24卷 / 02期

关键词：

D O I：

10.1109/TAC.1979.1102008

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A method for obtaining estimates of the partial correlation matrices of a multivariate process using Cholesky decomposition is described. The estimates provide a minimum phase autoregressive model for the observed data and a positive definite autocorrelation function estimate. Copyright © 1979 by The Institute of Electrical and Electronics Engineers Inc.

引用

页码：302 / 305

页数：4

共 18 条

[1] DETERMINING PARTIAL CORRELATION-COEFFICIENTS BY COVARIANCE METHOD OF LINEAR PREDICTION [J].