A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model

DOI10.1016/0167-6911(88)90082-5zbMATH Open0647.93065OpenAlexW2049777333MaRDI QIDQ1104907FDOQ1104907

Authors: Petre Stoica, Benjamin Friedlander, Torsten Söderström 

Publication date: 1988

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(88)90082-5

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zbMATH Keywords

parameter estimationARMA processeshigh-order Yule-Walker method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• Title not available (Why is that?)
• On covariance function tests used in system identification
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• Spectral estimation via the high-order Yule-Walker equations
• On a procedure for testing the order of time series

Cited In (10)

• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• New insights into the high-order Yule-Walker equations
• Title not available (Why is that?)
• An efficient method to compute consistent estimates of the AR parameters of an ARMA model
• Evaluating some Yule-Walker methods with the maximum-likelihood estimator for the spectral ARMA model
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONS
• Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
• Spectral estimation via the high-order Yule-Walker equations
• High-order Yule--Walker estimation of the parameters of exponentially damped cisoids in noise

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