Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation

DOI10.1109/TASSP.1984.1164389MaRDI QIDQ3707199zbMATH OpenFDO

Authors

Publication date 1984

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.1984.1164389

zbMATH Keywords

ARMA processautocorrelationCramér-Rao boundsefficiency boundsgeneralized error covariancepoleswhite noisezeros

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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