Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding.
Hannes HelgasonVladas PipirasPatrice AbryPublished in: Signal Process. (2011)
Keyphrases
- multivariate gaussian
- non stationary
- maximum likelihood estimation
- covariance matrix
- gaussian distribution
- dynamic time warping
- least squares
- fourier transform
- maximum likelihood
- program synthesis
- multivariate time series
- probability distribution
- stock market
- feature selection
- em algorithm
- signal processing
- discrete fourier transform
- iterative methods