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

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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 http://hdl.handle.net/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

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