On spectral analysis using models with pre-specified zeros

DOI10.1007/3-540-36106-5_24MaRDI QIDQ4451714zbMATH OpenOpenAlexFDO

Authors B. Wahlberg

Publication date 1 March 2004

Published in Directions in Mathematical Systems Theory and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-36106-5_24

zbMATH Keywords

ARMA model estimationorthogonal rational functionsprediction error methodrational covariance extensionspectral analysis

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Frequency-response methods in control theory (93C80) Estimation and detection in stochastic control theory (93E10)

Review text

In this overview paper the author discusses and compares two approaches to spectral estimation. The first approach is based on the results by Lindquist and co-workers on the rational covariance extension problem. The second approach to ARMA model estimation is to use a prediction error method based on generalizing AR-modeling using orthogonal rational filters. For the entire collection see [Zbl 1005.00024].

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(2)

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