On the Spectral Estimation of VARMA Processes

원문 초록

We consider the problem of estimating the power spectral density of a Vector-valued Autoregressive Moving-Average (VARMA) process. A well-established approach to accomplishing this task consists of formulating a moment problem that selects the spectral density maximizing an entropy-like index while matching certain moments of the underlying process. However, existing methods assume that the moving-average (MA) component is either fixed or scalar, thereby reducing the class of ARMA models over which the optimal spectral density is sought. In this paper, we propose a new moment problem, based on the notion of transportation entropy, for learning the spectral density of a VARMA process without fixing the MA component or restricting it to be scalar.