On the statistics of the estimated reflection coefficients of an autoregressive process

DOI10.1109/TASSP.1983.1164228MaRDI QIDQ3685893zbMATH OpenFDO

Authors

Publication date 1983

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TASSP.1983.1164228

zbMATH Keywords

asymptotic distributionautoregressive processcovariance matrix boundCramér-Rao boundestimated reflection coefficientsmaximum likelihood estimatesmultivariate Gaussian

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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• Normality of a non-linear transformation of AR parameters: application to reflection and cepstrum coefficients.
• Two autoregressive identities
• Reflection coefficients vs partial autocorrelations
• Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients
• scientific article; zbMATH DE number 4096639 (Why is no real title available?)
• Cramer-Rao bounds for AR parameter and reflection coefficient estimators
• Reflection coefficients of band-limited spectra and band-limited spectrum modeling
• On finite sample statistics for Yule-Walker estimates
• On the Structure and Estimation of Reflection Positive Processes
• On the statistics of estimated reflection and cepstrum coefficients of an autoregressive process

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