This paper focuses on the joint estimation of parameters and topologies of multivariate
graphical autoregressive moving-average (ARMA) processes. Since the graphical structure …

This book is intended to be a treatise on the theory and modeling of secondorder stationary
processes with an exposition of some application areas which we believe are important in …

Entropy-like functionals on operator algebras have been studied since the pioneering work
of von Neumann, Umegaki, Lindblad, and Lieb. The best known are the von Neumann …

In this paper, we study a matricial version of a generalized moment problem with degree
constraint. We introduce a new metric on multivariable spectral densities induced by the …

In this paper, we extend the Beta divergence family to multivariate power spectral densities.
Similarly to the scalar case, we show that it smoothly connects the multivariate Kullback …

The concept of spectral relative entropy rate is introduced for jointly stationary Gaussian
processes. Using classical information-theoretic results, we establish a remarkable …

In this paper, we first describe a matricial Newton-type algorithm designed to solve the
multivariable spectrum approximation problem. We then prove its global convergence …

Consider a Gaussian stationary stochastic vector process with the property that designated
pairs of components are conditionally independent given the rest of the components. Such …

We approximate a given rational spectral density by one that is consistent with prescribed
second-order statistics. Such an approximation is obtained by selecting the spectral density …

Structured covariances occurring in spectral analysis, filtering and identification need to be
estimated from a finite observation record. The corresponding sample covariance usually …