Parametric signal modelling using Laguerre filters

DOI10.1214/AOAP/1177005434MaRDI QIDQ687705zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, B. Wahlberg

Publication date 28 October 1993

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005434

zbMATH Keywords

autoregressive modelsdiscrete Laguerre filtershigh order propertiesLevinson algorithm

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Autoregressive models are generalized by replacing the delay operator by discrete Laguerre filters. A Levinson algorithm is constructed to estimate the parameters. Asymptotic and high order properties of the parameter estimates are discussed.

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Cited in

(5)

• Adaptive modified Laguerre filters
• On approximation of stable linear dynamical systems using Laguerre and Kautz functions
• Frequency smoothing using Laguerre model
• Real-time identification of nonlinear multiple-input-multiple-output systems with unknown input time delay using Wiener model with neuro-Laguerre structure
• Two dimensional Laguerre model and spectral estimation of image signals

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