Constrained expectation maximisation algorithm for estimating ARMA models in state space representation
Abstract This paper discusses the fitting of linear state space models to given multivariate time series in the presence of constraints imposed on the four main parameter matrices of these models. Constraints arise partly from the assumption that the models have a block-diagonal structure, with each...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-05-01
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| Series: | EURASIP Journal on Advances in Signal Processing |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13634-020-00678-3 |