loading
Papers

Research.Publish.Connect.

Paper

Paper Unlock

Authors: Vasilis K. Dertimanis and Dimitris V. Koulocheris

Affiliation: National Technical University of Athens, Greece

ISBN: 978-989-674-001-6

Keyword(s): Vector autoregressive, Time–series, State–space, Green function, Covariance matrix, Dispersion analysis, Estimation.

Related Ontology Subjects/Areas/Topics: Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification ; Time Series and System Modeling

Abstract: This study explores the interconnection between vector autoregressive (VAR) structures and state–space models and results in a compact framework for the representation of multivariate time–series, as well as the estimation of structural information. The corresponding methodology that is developed, applies the fact that every VAR process of order n may be described by an equivalent (non–unique) VAR model of first order, which is identical to a state–space realization. The latter uncovers many ”hidden” information of the initial model, it is more easy to manipulate and maintains significant second moments’ information that can be reflected back to the original structure with no effort. The performance of the proposed framework is validated using vector time–series signatures from a structural system with two degrees of freedom, which retains a pair of closely spaced vibration modes and has been reported in the relevant literature.

PDF ImageFull Text

Download
CC BY-NC-ND 4.0

Sign In Guest: Register as new SciTePress user now for free.

Sign In SciTePress user: please login.

PDF ImageMy Papers

You are not signed in, therefore limits apply to your IP address 100.24.122.228

In the current month:
Recent papers: 100 available of 100 total
2+ years older papers: 200 available of 200 total

Paper citation in several formats:
K. Dertimanis V.; V. Koulocheris D. and (2009). ON THE STATE–SPACE REALIZATION OF VECTOR AUTOREGRESSIVE STRUCTURES: AN ASSESSMENT.In Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO, ISBN 978-989-674-001-6, pages 20-27. DOI: 10.5220/0002188100200027

@conference{icinco09,
author={Vasilis {K. Dertimanis} and Dimitris {V. Koulocheris}},
title={ON THE STATE–SPACE REALIZATION OF VECTOR AUTOREGRESSIVE STRUCTURES: AN ASSESSMENT},
booktitle={Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,},
year={2009},
pages={20-27},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002188100200027},
isbn={978-989-674-001-6},
}

TY - CONF

JO - Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,
TI - ON THE STATE–SPACE REALIZATION OF VECTOR AUTOREGRESSIVE STRUCTURES: AN ASSESSMENT
SN - 978-989-674-001-6
AU - K. Dertimanis, V.
AU - V. Koulocheris, D.
PY - 2009
SP - 20
EP - 27
DO - 10.5220/0002188100200027

Login or register to post comments.

Comments on this Paper: Be the first to review this paper.