Time Varying Autoregressive Moving Average Models for Covariance Estimation

@article{Wiesel2013TimeVA,
  title={Time Varying Autoregressive Moving Average Models for Covariance Estimation},
  author={Ami Wiesel and Ofir Bibi and Amir Globerson},
  journal={IEEE Transactions on Signal Processing},
  year={2013},
  volume={61},
  pages={2791-2801}
}
We consider large scale covariance estimation using a small number of samples in applications where there is a natural ordering between the random variables. The two classical approaches to this problem rely on banded covariance and banded inverse covariance structures, corresponding to time varying moving average (MA) and autoregressive (AR) models, respectively. Motivated by this analogy to spectral estimation and the well known modeling power of autoregressive moving average (ARMA) processes… CONTINUE READING