Auto-Regressive Moving Average Models on Complex-Valued Matrix Lie Groups

作者：Fiori Simone^*

来源：Circuits, Systems, and Signal Processing, 2014, 33(8): 2449-2473.

DOI：10.1007/s00034-014-9745-1

• Lie-group theory
• Processing of data taking values on Lie groups
• Random matrix generation and random path generation on Lie groups

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.

• 出版日期2014-8