Computationally Efficient Stochastic Realization for Internal Multiscale Autoregressive Models

Authors:
Austin B. Frakt;Alan S. Willsky
Affiliations:
Abt Associates Inc., Cambridge, MA;Laboratory for Information and Decision Systems, Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, MA
Venue:
Multidimensional Systems and Signal Processing
Year:
2001

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Abstract

In this paper we develop a stochastic realization theory for multiscale autoregressive (MAR) processes that leads to computationally efficient realization algorithms. The utility of MAR processes has been limited by the fact that the previously known general purpose realization algorithm, based on canonical correlations, leads to model inconsistencies and has complexity quartic in problem size. Our realization theory and algorithms addresses these issues by focusing on the estimation-theoretic concept of predictive efficiency and by exploiting the scale-recursive structure of so-called internal MAR processes. Our realization algorithm has complexity quadratic in problem size and with an approximation we also obtain an algorithm that has complexity linear in problem size.