An efficient linear method for ARMA spectral estimation

DOI10.1080/00207179408923081zbMATH Open0802.93059OpenAlexW1989311619MaRDI QIDQ4286535FDOQ4286535

Authors Randolph L. Moses, Virginija Šimonytė, Petre Stoica, Torsten Söderström

Publication date 27 March 1994

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

Full work available at URL https://doi.org/10.1080/00207179408923081

zbMATH Keywords

numerical examplesARMA spectral estimatesYule-Walker algorithms

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 193741 (Why is no real title available?)
• A general lower bound for parametric spectrum estimation
• Approximate maximum-likelihood approach to ARMA spectral estimation
• Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies
• Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances
• Model-structure selection by cross-validation
• On a procedure for testing the order of time series
• On some suboptimum ARMA spectral estimators
• On the unit circle problem: The Schur-Cohn procedure revisited
• Optimal nonnegative definite approximations of estimated moving average covariance sequences
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• Spectral estimation via the high-order Yule-Walker equations

Cited in

(10)

• scientific article; zbMATH DE number 3985103 (Why is no real title available?)
• A Bayesian analysis of spectral ARMA model
• An efficient algorithm for two-dimensional autoregressive spectrum estimation
• ARMA spectral estimation based on partial autocorrelations
• On Efficient AR Spectral Estimation for Long-Range Predictions
• Improving subband spectral estimation using modified AR model
• A block-data recursive-in-order method based on reflection coefficients for bispectrum estimation using AR-modeling
• Approximate maximum-likelihood approach to ARMA spectral estimation
• Efficient Symmetric Algorithms for the Modified Covariance Method for Autoregressive Spectral Analysis
• scientific article; zbMATH DE number 232830 (Why is no real title available?)

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