{"title":"Estimation of partial correlation matrices using cholesky decomposition","authors":"B. Dickinson","doi":"10.1109/CDC.1978.267934","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":375119,"journal":{"name":"1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes","volume":"3 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CDC.1978.267934","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 21
Abstract
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.
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