VAR based state-space structures: Realization, statistics and spectral analysis

Dertimanis, VK; Koulocheris, DV

dc.contributor.author	Dertimanis, VK	en
dc.contributor.author	Koulocheris, DV	en
dc.date.accessioned	2014-03-01T02:53:31Z
dc.date.available	2014-03-01T02:53:31Z
dc.date.issued	2011	en
dc.identifier.issn	18761100	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/36381
dc.subject	Covariance function	en
dc.subject	Dispersion analysis	en
dc.subject	Estimation	en
dc.subject	Green function	en
dc.subject	Spectral density	en
dc.subject	State-space	en
dc.subject	Time-series	en
dc.subject	Vector autoregressive	en
dc.subject.other	Closed-form expression	en
dc.subject.other	Companion matrix	en
dc.subject.other	Covariance function	en
dc.subject.other	Dispersion analysis	en
dc.subject.other	Generating functions	en
dc.subject.other	Green function	en
dc.subject.other	Initial process	en
dc.subject.other	Monte carlo analysis	en
dc.subject.other	Specific state	en
dc.subject.other	Spectral analysis	en
dc.subject.other	State equations	en
dc.subject.other	State matrices	en
dc.subject.other	State-space	en
dc.subject.other	State-space models	en
dc.subject.other	Structural indices	en
dc.subject.other	Structural modes	en
dc.subject.other	Structural systems	en
dc.subject.other	Two degrees of freedom	en
dc.subject.other	Covariance matrix	en
dc.subject.other	Dispersions	en
dc.subject.other	Equations of state	en
dc.subject.other	Estimation	en
dc.subject.other	Function evaluation	en
dc.subject.other	Indexing (materials working)	en
dc.subject.other	Information science	en
dc.subject.other	Robots	en
dc.subject.other	Space platforms	en
dc.subject.other	Spectral density	en
dc.subject.other	Structural analysis	en
dc.subject.other	Time series analysis	en
dc.subject.other	Value engineering	en
dc.subject.other	Vector spaces	en
dc.subject.other	Robotics	en
dc.title	VAR based state-space structures: Realization, statistics and spectral analysis	en
heal.type	conferenceItem	en
heal.identifier.primary	10.1007/978-3-642-19730-7_21	en
heal.identifier.secondary	http://dx.doi.org/10.1007/978-3-642-19730-7_21	en
heal.publicationDate	2011	en
heal.abstract	The effective representation of multivariate time-series in terms of their structural indices is faced in this study, leading to the development of a corresponding scheme that is based in the interconnection between VAR and state-space models. To this, a specific state equation that retains a state matrix identical to the companion matrix of the original VAR polynomial is realized, uncovering many ""hidden"" information of the initial process. In light of this realization, it is shown how closed form expressions for the Green function, the covariance generating function and the spectral density can be derived through the spectrum of the state matrix, thus allowing assessment and quantification (via the notion of dispersion analysis) of every structural mode. A Yule-Walker based estimate is also provided, which applies directly to the state equation. A structural system with two degrees of freedom and closely spaced modes serves as an application of the novel scheme, using Monte Carlo analysis. © 2011 Springer-Verlag Berlin Heidelberg.	en
heal.journalName	Lecture Notes in Electrical Engineering	en
dc.identifier.doi	10.1007/978-3-642-19730-7_21	en
dc.identifier.volume	85 LNEE	en
dc.identifier.spage	301	en
dc.identifier.epage	315	en