Approximate maximum-likelihood approach to ARMA spectral estimation
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Foundations and philosophical topics in statistics (62A01) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)
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Cites work
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- Estimation in the first order moving average model based on sample autocorrelations
- scientific article; zbMATH DE number 3131354 (Why is no real title available?)
- Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation
- On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
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- Optimization with respect to covariance sequence parameters
- Reduced-order modeling and state estimation applied to gas distribution systems
- Spectral estimation via the high-order Yule-Walker equations
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Cited in
(17)- Multivariate time series analysis with state space models
- Approximate maximum likelihood frequency estimation
- Capon estimation of covariance sequences
- A closed-form ARMA-based ML-estimator of a single-tone frequency
- On the indirect approaches for CARMA model identification
- Instrumental variable methods for ARMA spectral estimation
- scientific article; zbMATH DE number 3942859 (Why is no real title available?)
- scientific article; zbMATH DE number 3985103 (Why is no real title available?)
- A Suboptimum Maximum Likelihood Approach to Parametric Signal Analysis
- An efficient linear method for ARMA spectral estimation
- A bootstrap-based approach for parameter and polyspectral density estimation of a non-minimum phase ARMA process
- scientific article; zbMATH DE number 232830 (Why is no real title available?)
- On Efficient AR Spectral Estimation for Long-Range Predictions
- Evaluating some Yule-Walker methods with the maximum-likelihood estimator for the spectral ARMA model
- ARMA spectral estimation based on partial autocorrelations
- An indirect prediction error method for system identification
- Improving subband spectral estimation using modified AR model
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