Multidimensional autoregression |

(60) | |||

(61) |

To balance our possibly contradictory goals we need weighting functions. The quadratic form that we should minimize is

(62) |

where is the inverse multivariate spectrum of the noise (data-space residuals) and is the inverse multivariate spectrum of the model. In other words, is a leveler on the data fitting error and is a leveler on the model. There is a curious unresolved issue: What is the most suitable constant scaling ratio of to ?

Multidimensional autoregression |

2013-07-26