Optimal ARMA parameter estimation based on the sample covariances for data with missing observations

DOI10.1109/18.32128zbMATH Open0672.62095OpenAlexW2090029210MaRDI QIDQ3825976FDOQ3825976

Authors: Yonina Rosen, Boaz Porat 

Publication date: 1989

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.32128

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zbMATH Keywords

algorithmARMA modelasymptotic variancespectral estimationstationary processesnonlinear least squaresmissing observationsautoregressive moving-averagesample covariancesasymptotically optimal estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited In (6)

• Autoregressive spectral analysis when observations are missing
• Finite memory observers for linear time-varying systems: theory and diagnosis applications
• Estimation method of moving average model with missing data
• Title not available (Why is that?)
• ARMA spectral estimation of time series with missing observations
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data

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