TY - GEN
T1 - Charrelation-based estimation of the parameters of non-Gaussian autoregressive processes
AU - Slapak, Alon
AU - Yeredor, Arie
PY - 2012
Y1 - 2012
N2 - Charrelation matrices are similar in structure (and in additional properties) to correlation matrices, and are closely related to Hessians of the log-characteristic function at selected processing-points away from the origin. Charrelation-based estimation methods were shown to offer significant improvement over second-order (correlation-based) methods when the latter are suboptimal. However, judicious selection of the processing-points is required in order to achieve such improvement. In the context of estimating the parameters of an autoregressive process, we present here a method for proper data-driven selection of the processing-points, finding the one which minimizes the predicted mean square estimation error. The resulting performance improvement over classical competing methods is demonstrated in simulation.
AB - Charrelation matrices are similar in structure (and in additional properties) to correlation matrices, and are closely related to Hessians of the log-characteristic function at selected processing-points away from the origin. Charrelation-based estimation methods were shown to offer significant improvement over second-order (correlation-based) methods when the latter are suboptimal. However, judicious selection of the processing-points is required in order to achieve such improvement. In the context of estimating the parameters of an autoregressive process, we present here a method for proper data-driven selection of the processing-points, finding the one which minimizes the predicted mean square estimation error. The resulting performance improvement over classical competing methods is demonstrated in simulation.
UR - http://www.scopus.com/inward/record.url?scp=84868246987&partnerID=8YFLogxK
U2 - 10.1109/SSP.2012.6319728
DO - 10.1109/SSP.2012.6319728
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AN - SCOPUS:84868246987
SN - 9781467301831
T3 - 2012 IEEE Statistical Signal Processing Workshop, SSP 2012
SP - 448
EP - 451
BT - 2012 IEEE Statistical Signal Processing Workshop, SSP 2012
T2 - 2012 IEEE Statistical Signal Processing Workshop, SSP 2012
Y2 - 5 August 2012 through 8 August 2012
ER -