Auto-Regressive Moving Average Models on Complex-Valued Matrix Lie Groups |
| |
Authors: | Simone Fiori |
| |
Affiliation: | 1. Dipartimento di Ingegneria dell’Informazione, Università Politecnica delle Marche, Via Brecce Bianche, 60131?, Ancona, Italy
|
| |
Abstract: | The present contribution aims at extending the classical scalar autoregressive moving average (ARMA) model to generate random (as well as deterministic) paths on complex-valued matrix Lie groups. The numerical properties of the developed ARMA model are studied by recurring to a tailored version of the Z-transform on Lie groups and to statistical indicators tailored to Lie groups, such as correlation functions on tangent bundles. The numerical behavior of the devised ARMA model is also illustrated by numerical simulations. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|