A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
Journal of Statistical Computation and Simulation
The algebraic eigenvalue problem
The algebraic eigenvalue problem
Rank-deficient and discrete ill-posed problems: numerical aspects of linear inversion
Rank-deficient and discrete ill-posed problems: numerical aspects of linear inversion
ACM Transactions on Mathematical Software (TOMS)
Accuracy and Stability of Numerical Algorithms
Accuracy and Stability of Numerical Algorithms
ACM Transactions on Mathematical Software (TOMS)
Dynamical Statistical Shape Priors for Level Set-Based Tracking
IEEE Transactions on Pattern Analysis and Machine Intelligence
A comparison of multivariate autoregressive estimators
Signal Processing - Signal processing in UWB communications
Fast Transformation-Invariant Component Analysis
International Journal of Computer Vision
Decomposition of the multi-dimensional time series identification problem
Automation and Remote Control
Medium term scheduling of a hydro-thermal system using stochastic model predictive control
Automatica (Journal of IFAC)
Evaluating exact VARMA likelihood and its gradient when data are incomplete
ACM Transactions on Mathematical Software (TOMS)
Undercomplete Blind Subspace Deconvolution Via Linear Prediction
ECML '07 Proceedings of the 18th European conference on Machine Learning
Body sensor networks based sensor fusion for cardiovascular biosignal predictions
Proceedings of the 2nd International Workshop on Systems and Networking Support for Health Care and Assisted Living Environments
Complete Blind Subspace Deconvolution
ICA '09 Proceedings of the 8th International Conference on Independent Component Analysis and Signal Separation
Improved bispectrum based tests for Gaussianity and linearity
Signal Processing
A study of H.263 traffic modeling in multipoint videoconference sessions over IP networks
Computer Communications
Controlled complete ARMA independent process analysis
IJCNN'09 Proceedings of the 2009 international joint conference on Neural Networks
Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering
Multidimensional Systems and Signal Processing
Independent process analysis without a priori dimensional information
ICA'07 Proceedings of the 7th international conference on Independent component analysis and signal separation
Coping with full occlusion in fronto-normal gait by using missing data theory
ICICS'09 Proceedings of the 7th international conference on Information, communications and signal processing
Prediction error feedback for time series prediction: a way to improve the accuracy of predictions
ECC'10 Proceedings of the 4th conference on European computing conference
Expert Systems with Applications: An International Journal
A model for dynamic shape and its applications
CVPR'04 Proceedings of the 2004 IEEE computer society conference on Computer vision and pattern recognition
Winter Simulation Conference
Tracking trends: incorporating term volume into temporal topic models
Proceedings of the 17th ACM SIGKDD international conference on Knowledge discovery and data mining
Computer Based Synchronization Analysis on Sleep EEG in Insomnia
Journal of Medical Systems
A Probabilistic Contour Observer for Online Visual Tracking
SIAM Journal on Imaging Sciences
Multivariate AR model order estimation with unknown process order
PCI'05 Proceedings of the 10th Panhellenic conference on Advances in Informatics
A resource-based server performance control for grid computing systems
NPC'05 Proceedings of the 2005 IFIP international conference on Network and Parallel Computing
Separation theorem for independent subspace analysis and its consequences
Pattern Recognition
PC3: Principal Component-based Context Compression
Journal of Parallel and Distributed Computing
Artificial Apnea Classification with Quantitative Sleep EEG Synchronization
Journal of Medical Systems
Dynamical statistical shape priors for level set based sequence segmentation
VLSM'05 Proceedings of the Third international conference on Variational, Geometric, and Level Set Methods in Computer Vision
Visualization of time-series data in parameter space for understanding facial dynamics
EuroVis'11 Proceedings of the 13th Eurographics / IEEE - VGTC conference on Visualization
Personal and Ubiquitous Computing
Project dynamics and emergent complexity
Computational & Mathematical Organization Theory
Applied Bionics and Biomechanics - Human-Robot Interaction/Interface
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Dynamical characteristics of a complex system can often be inferred from analysis of a stochastic time series model fitted to observations of the system. Oscillations in geophysical systems, for example, are sometimes characterized by principal oscillation patterns, eigenmodes of estimated autoregressive (AR) models of first order. This paper describes the estimation of eigenmodes of AR models of arbitrary order. AR processes of any order can be decomposed into eigenmodes with characteristic oscillation periods, damping times, and excitations. Estimated eigenmodes and confidence intervals for the eigenmodes and their oscillation periods and damping times can be computed from estimated models parameters. As a computationally efficient method of estimating the parameters of AR models from high-dimensional data, a stepwise least squares algorithm is proposed. This algorithm computes models of successively decreasing order. Numerical simulations indicate that, with the least squares algorithm, the AR model coefficients and the eigenmodes derived from the coefficients and eigenmodes are rough approximations of the confidence intervals inferred from the simulaitons.