Optimal ARMA parameter estimation based on the sample covariances for data with missing observations

DOI10.1109/18.32128zbMath0672.62095OpenAlexW2090029210MaRDI QIDQ3825976

Yonina Rosen, Boaz Porat

Publication date: 1989

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.32128

zbMATH Keywords

algorithmspectral estimationasymptotic variancemissing observationsstationary processesARMA modelnonlinear least squaresautoregressive moving-averagesample covariancesasymptotically optimal estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Autoregressive spectral analysis when observations are missing ⋮ Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data ⋮ Finite memory observers for linear time-varying systems: theory and diagnosis applications

This page was built for publication: Optimal ARMA parameter estimation based on the sample covariances for data with missing observations