On line power spectra identification and whitening for the noise in interferometric gravitational wave detectors

In this paper we address both to the problem of identifying the noise Power Spectral Density of interferometric detectors by parametric techniques and to the problem of the whitening procedure of the sequence of data. We will concentrate the study on a Power Spectral Density like the one of the Italian-French detector VIRGO and we show that with a reasonable finite number of parameters we succeed in modeling a spectrum like the theoretical one of VIRGO, reproducing all its features. We propose also the use of adaptive techniques to identify and to whiten on line the data of interferometric detectors. We analyze the behavior of the adaptive techniques in the field of stochastic gradient and in the Least Squares ones.Comment: 28 pages, 21 figures, uses iopart.cls accepted for pubblication on Classical and Quantum Gravit

Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models

We discuss computational aspects of likelihood-based estimation of univariate ARFIMA (p,d,q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.Long memory, Bias, Modified profile likelihood, Restricted maximum likelihood estimator, Time-series regression model likelihood

Fast estimation methods for time series models in state-space form

We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final estimates when maximum-likelihood is considered inadequate or costly. The state-space foundation of these procedures implies that they can estimate any linear fixed-coefficients model, such as ARIMA, VARMAX or structural time series models. The computational and finitesample performance of both methods is very good, as a simulation exercise shows.State-space models, subspace methods, Kalman Filter, system identification.