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Estimation in Autoregressive Processes with Partial Observations

Abstract: 

We consider the problem of estimating the covariance matrix and the transition matrix of vector autoregressive (VAR) processes from partial measurements. This model encompasses settings where there are limitations in the data acquisition of the underlying measurement systems so that data is lost or corrupted by noise. An estimator for the covariance matrix of the observations is first presented. More refined estimators, factoring in structural constraints on the covariance matrix such as sparsity, bandedness, sparsity of the inverse and low-rankness are then introduced that are particularly useful in the
high-dimensional regime. These estimates are then used to perform system identification by estimating the state transition matrix with or without further structural assumptions. Non-asymptotic guarantees are presented for all estimators.

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Paper Details

Authors:
Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith
Submitted On:
10 March 2017 - 4:48pm
Short Link:
Type:
Poster
Event:
Presenter's Name:
Milind Rao
Paper Code:
3470
Document Year:
2017
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[1] Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith, "Estimation in Autoregressive Processes with Partial Observations", IEEE SigPort, 2017. [Online]. Available: http://sigport.org/1738. Accessed: Jun. 29, 2017.
@article{1738-17,
url = {http://sigport.org/1738},
author = {Milind Rao; Tara Javidi; Yonina C. Eldar; Andrea Goldsmith },
publisher = {IEEE SigPort},
title = {Estimation in Autoregressive Processes with Partial Observations},
year = {2017} }
TY - EJOUR
T1 - Estimation in Autoregressive Processes with Partial Observations
AU - Milind Rao; Tara Javidi; Yonina C. Eldar; Andrea Goldsmith
PY - 2017
PB - IEEE SigPort
UR - http://sigport.org/1738
ER -
Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith. (2017). Estimation in Autoregressive Processes with Partial Observations. IEEE SigPort. http://sigport.org/1738
Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith, 2017. Estimation in Autoregressive Processes with Partial Observations. Available at: http://sigport.org/1738.
Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith. (2017). "Estimation in Autoregressive Processes with Partial Observations." Web.
1. Milind Rao, Tara Javidi, Yonina C. Eldar, Andrea Goldsmith. Estimation in Autoregressive Processes with Partial Observations [Internet]. IEEE SigPort; 2017. Available from : http://sigport.org/1738