ARMA spectral estimation based on partial autocorrelations

DOI10.1007/BF01599075zbMath0535.93060MaRDI QIDQ791492

Boaz Porat

Publication date: 1983

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

zbMATH Keywords

stationary time seriesautoregressive moving-average parameterspartial autocorrelations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

ARMA spectral estimation based on partial autocorrelations. II: Statistical analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum likelihood estimation of parameters of autoregressive processes with moving average residuals and other covariance matrices with linear structure
• Estimation for autoregressive moving average models in the time and frequency domains
• A combined penalty function and gradient projection method for nonlinear programming
• Recursive least squares ladder estimation algorithms
• The Fitting of Time-Series Models
• High performance spectral estimation--A new ARMA method
• Inconsistency of the AIC rule for estimating the order of autoregressive models
• Square root covariance ladder algorithms
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Identification of autoregressive moving-average parameters of time series
• On another approach to the Schur-Cohn criterion
• The estimation of mixed moving average autoregressive systems
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• A new look at the statistical model identification