Approximate maximum-likelihood approach to ARMA spectral estimation

DOI10.1080/00207178708933809zbMath0622.93066OpenAlexW4236343023MaRDI QIDQ3760406

Petre Stoica, Torsten Söderström, Benjamin Friedlander

Publication date: 1987

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178708933809

zbMATH Keywords

covariance estimatesmaximum likelihood techniquesARMA spectral parametersYule-Walker-based methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (6)

An efficient linear method for ARMA spectral estimation ⋮ Multivariate time series analysis with state space models ⋮ Capon estimation of covariance sequences ⋮ On the indirect approaches for CARMA model identification ⋮ Approximate maximum likelihood frequency estimation ⋮ An indirect prediction error method for system identification

Cites Work

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• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation
• Reduced-order modeling and state estimation applied to gas distribution systems
• Statistical analysis of a spectral estimator for ARMA processes
• Spectral estimation via the high-order Yule-Walker equations
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process

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