Charrelation-based estimation of the parameters of non-Gaussian autoregressive processes

Abstract

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… (More)
DOI: 10.1109/SSP.2012.6319728

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