Linear estimation of stationary autoregressive processes

DOI10.5402/2011/138683MaRDI QIDQ630815zbMATH OpenOpenAlexWikidataFDO

Authors Reza Dianat, Farokh Marvasti

Publication date 22 March 2011

Published in ISRN Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5402/2011/138683

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: Consider a sequence of an \(m\)\,th-order autoregressive (AR) stationary discrete-time process and assume that at least \(m - 1\) consecutive neighboring samples of an unknown sample are available. It is not important that the neighbors are from one side or are from both the left and right sides. We find explicit solutions for the optimal linear estimation of the unknown sample in terms of the neighbors. We write the estimation errors as the linear combination of innovation noises. We also calculate the corresponding mean square errors (MSE). To the best of our knowledge, there is no explicit solution for this problem. The known solutions are the implicit ones through orthogonality equations. Also, there are no explicit solutions when fewer than \(m - 1\) samples are available. The order of the process \((m)\) and the feedback coefficients are assumed to be known.

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Cites work

• Autoregressive parameter estimation from noisy data
• Identification of Time-Varying Autoregressive Systems Using Maximuma PosterioriEstimation
• Nonparametric detection with autoregressive data
• Parameter estimation of autoregressive signals from observations corrupted with colored noise

Cited in

(5)

• Stationary random fields with linear regressions
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• scientific article; zbMATH DE number 4094494 (Why is no real title available?)
• AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS
• Methods for calculating stationary distribution in linear models of time series

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