Statistical analysis of a spectral estimator for ARMA processes

DOI10.1109/TAC.1980.1102248MaRDI QIDQ3865323zbMATH OpenOpenAlexFDO

Authors Hideaki Sakai, Hidekatsu Tokumaru

Publication date 1980

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1980.1102248

zbMATH Keywords

ARMA processesasymptotic variances of spectral estimatorautoregressive moving averagenumerical calculationsperiodogram technique

Mathematics Subject Classification ID

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

Cited in

(1)

• Approximate maximum-likelihood approach to ARMA spectral estimation

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