In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive modelling discrete-valued time series. Our consists in iteratively combining the estimation of autoregressive moving average (ARMA) coefficients models with regularized methods designed performing regression Generalized Linear Models (GLM). We first establish consi...

The space of rational matrices with xed size and degree is shown to have a manifold structure with bers over a Grassmannian. The bers are homeomorphic to a suitable space of strictly proper rational matrices. This structure is compatible with Willems' partition of external variables into inputs and outputs.

In this paper, a parallel identification and restoration procedure is described for images with symmetric, noncausal blurs. It is shown that the identification problem can be specified as a parallel set of one-dimensional complex autoregressive moving-average (ARMA) identification problems. By expressing the ARMA models as equivalent infiniteorder autoregressive (AR) models, an entirely linear ...

This paper investigates the asymptotic theory for a vector autoregressive moving average–generalized autoregressive conditional heteroskedasticity ~ARMAGARCH! model+ The conditions for the strict stationarity, the ergodicity, and the higher order moments of the model are established+ Consistency of the quasimaximum-likelihood estimator ~QMLE! is proved under only the second-order moment conditi...

D. R. Brillinger and M. Rosenhlatt, “Computation and interpretation of kth-order spectra,” in Spectral Analysis of Time Series, B. Harris, Ed. New York: Wiley, 1967, pp. 189-232. J. A. R. Fonollosa and J. Vidal, “System identification using a linear combination of cumulant slices,’’ IEEE Trans. Signal P rocexsing, vol. 41, no. 7, pp. 2405-2412, July 1993. F. R. Gantmacker, Applications oj’the T...

In our earlier work, we introduced a class of stochastic processes obeying a structure of the form, E [ X ( t ) X ( t X ) ] = R(X), t , X > 0, and outlined a mathematical framework for the modeling and analysis for these processes. We referred to this class of processes as scale stationary processes. We demonstrated that scale stationarity framework leads to engineering oriented mathematical to...