Analysis and Design in the Problem of Vector Deconvolution
We formulate the problem of deconvolution of a given vector as an optimal design problem and suggest numerical algorithms for solving this problem. We then discuss an important application of the proposed methods for problems of time series analysis and signal processing and also to the low-rank approximation of structured matrices.
KeywordsSingular Value Decomposition Little Square Estimate Singular Spectrum Analysis Global Optimization Technique Hankel Matrice
(i) The authors are grateful to all three referees for their interesting and valuable comments. (ii) Research of the first author was supported by the Russian Science Foundation, project No. 15-11-30022 “Global optimization, supercomputing computations, and applications”.
- 13.Zvonarev, N., Golyandina, N.: Iterative algorithms for weighted and unweighted finite-rank time-series approximations. Stat. Interface 9 (4), (2016, to appear). arxiv http://arxiv.org/abs/1507.02751