DocumentCode
1068374
Title
Asymptotic second-order properties of sample partial correlations
Author
Stoica, Petre
Author_Institution
Dept. of Autom. Control, Polytech. Inst. of Bucharest, Romania
Volume
37
Issue
6
fYear
1989
fDate
6/1/1989 12:00:00 AM
Firstpage
952
Lastpage
955
Abstract
The asymptotic behavior of the sample partial correlations (PARCORs) is studied in the case of a general stationary process. An explicit formula for PARCOR´s second-order moments is provided. The analysis presented extends to more general processes as shown using previously reported results on the statistics of sample partial correlations of autoregressive (AR) and mixed autoregressive moving-average (ARMA) processes. This extension should be useful as the processes encountered in applications are not exactly AR or ARMA
Keywords
correlation theory; matrix algebra; signal processing; statistical analysis; time series; AR processes; ARMA; PARCOR; asymptotic behavior; autoregressive moving-average; general stationary process; sample partial correlations; second-order moments; statistics; Acoustic signal processing; Direction of arrival estimation; Fault detection; Position measurement; Signal processing; Smoothing methods; Speech recognition; Statistical analysis; Sun; Surveillance;
fLanguage
English
Journal_Title
Acoustics, Speech and Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
0096-3518
Type
jour
DOI
10.1109/ASSP.1989.28069
Filename
28069
Link To Document