On the state-space realization of vector autoregressive structures: An assessment

Dertimanis, VK; Koulocheris, DV

dc.contributor.author	Dertimanis, VK	en
dc.contributor.author	Koulocheris, DV	en
dc.date.accessioned	2014-03-01T02:46:16Z
dc.date.available	2014-03-01T02:46:16Z
dc.date.issued	2009	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/32634
dc.relation.uri	http://www.scopus.com/inward/record.url?eid=2-s2.0-74549117848&partnerID=40&md5=dd94397f186776b27ca846d2d64abd5d	en
dc.relation.uri	http://www.informatik.uni-trier.de/~ley/db/conf/icinco/icinco2009-spsmc.html#DertimanisK09	en
dc.subject	Covariance matrix	en
dc.subject	Dispersion analysis	en
dc.subject	Estimation	en
dc.subject	Green function	en
dc.subject	State-space	en
dc.subject	Time-series	en
dc.subject	Vector autoregressive	en
dc.subject.other	Auto-regressive	en
dc.subject.other	Compact framework	en
dc.subject.other	Dispersion analysis	en
dc.subject.other	First order	en
dc.subject.other	Green function	en
dc.subject.other	Original structures	en
dc.subject.other	Second moments	en
dc.subject.other	State space realization	en
dc.subject.other	State-space	en
dc.subject.other	State-space models	en
dc.subject.other	Structural information	en
dc.subject.other	Structural systems	en
dc.subject.other	Two degrees of freedom	en
dc.subject.other	VAR process	en
dc.subject.other	Vibration modes	en
dc.subject.other	Covariance matrix	en
dc.subject.other	Dispersions	en
dc.subject.other	Estimation	en
dc.subject.other	Robotics	en
dc.subject.other	Time series analysis	en
dc.subject.other	Value engineering	en
dc.subject.other	Vectors	en
dc.subject.other	Vector spaces	en
dc.title	On the state-space realization of vector autoregressive structures: An assessment	en
heal.type	conferenceItem	en
heal.publicationDate	2009	en
heal.abstract	This study explores the interconnection between vector autoregressive (VAR) structures and state-space models and results in a compact framework for the representation of multivariate time-series, as well as the estimation of structural information. The corresponding methodology that is developed, applies the fact that every VAR process of order n may be described by an equivalent (non-unique) VAR model of first order, which is identical to a state-space realization. The latter uncovers many ""hidden"" information of the initial model, it is more easy to manipulate and maintains significant second moments' information that can be reflected back to the original structure with no effort. The performance of the proposed framework is validated using vector time-series signatures from a structural system with two degrees of freedom, which retains a pair of closely spaced vibration modes and has been reported in the relevant literature.	en
heal.journalName	ICINCO 2009 - 6th International Conference on Informatics in Control, Automation and Robotics, Proceedings	en
dc.identifier.volume	3 SPSMC	en
dc.identifier.spage	20	en
dc.identifier.epage	27	en