Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties

DOI10.1080/00207178608933446zbMath0596.93056OpenAlexW2157205403MaRDI QIDQ3728779

Petre Stoica, Benjamin Friedlander, Torsten Söderström

Publication date: 1986

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178608933446

zbMATH Keywords

autoregressive processesleast squares solutionsmall sample performanceMonte Carlo techniqueasymptotic estimates of the variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

Related Items (1)

Comparison of total least squares and instrumental variable methods for parameter estimation of transfer function models

Cites Work

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