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Parameter functionalization and its application to the problem of local bifurcations in dynamic systems

✍ Scribed by L. S. Ibragimova; M. G. Yumagulov

Book ID
110152522
Publisher
SP MAIK Nauka/Interperiodica
Year
2007
Tongue
English
Weight
151 KB
Volume
68
Category
Article
ISSN
0005-1179

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An estimator of the inverse covariance m
An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
✍ B. David; G. Bastin πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 202 KB

An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.