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

DOI10.1016/0167-6911(88)90082-5MaRDI QIDQ1104907zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3473182 (Why is no real title available?)
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• On a procedure for testing the order of time series
• On covariance function tests used in system identification
• Spectral estimation via the high-order Yule-Walker equations

Cited in

(10)

• 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
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• scientific article; zbMATH DE number 4151669 (Why is no real title available?)
• High-order Yule--Walker estimation of the parameters of exponentially damped cisoids in noise
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONS
• New insights into the high-order Yule-Walker equations
• Evaluating some Yule-Walker methods with the maximum-likelihood estimator for the spectral ARMA model
• An efficient method to compute consistent estimates of the AR parameters of an ARMA model
• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties

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