ARMA spectral estimation based on partial autocorrelations
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)
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Cites work
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- Estimation for autoregressive moving average models in the time and frequency domains
- High performance spectral estimation--A new ARMA method
- Identification of autoregressive moving-average parameters of time series
- Inconsistency of the AIC rule for estimating the order of autoregressive models
- Large-sample estimation of parameters for autoregressive processes with moving-average residuals
- Maximum likelihood estimation of parameters of autoregressive processes with moving average residuals and other covariance matrices with linear structure
- Maximum likelihood identification of Gaussian autoregressive moving average models
- On another approach to the Schur-Cohn criterion
- Recursive least squares ladder estimation algorithms
- Square root covariance ladder algorithms
- The Fitting of Time-Series Models
- The estimation of mixed moving average autoregressive systems
Cited in
(20)- Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation
- scientific article; zbMATH DE number 3942859 (Why is no real title available?)
- The partial autocorrelation function of an ARMA (1,1) process
- On Efficient AR Spectral Estimation for Long-Range Predictions
- A bootstrap-based approach for parameter and polyspectral density estimation of a non-minimum phase ARMA process
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- Estimation of coherence and time delay with ARMA models
- An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)
- scientific article; zbMATH DE number 3881733 (Why is no real title available?)
- scientific article; zbMATH DE number 3960823 (Why is no real title available?)
- Matrix representations of spectral coefficients of randomly sampled ARMA models
- An efficient linear method for ARMA spectral estimation
- A Bayesian analysis of spectral ARMA model
- Optimal ARMA parameter estimation based on the sample covariances for data with missing observations
- The ARMA method of approximating probability density functions
- ARMA spectral estimation based on partial autocorrelations. II: Statistical analysis
- scientific article; zbMATH DE number 3852259 (Why is no real title available?)
- scientific article; zbMATH DE number 232830 (Why is no real title available?)
- scientific article; zbMATH DE number 3985103 (Why is no real title available?)
- A block-data recursive-in-order method based on reflection coefficients for bispectrum estimation using AR-modeling
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