The Modified Yule-Walker Method of ARMA Spectral Estimation

An overview of ARMA spectral estimation techniques based on the modified Yule-Walker equations is presented. The importance of using order overestimation, as well as of using an overdetermined set of equations, is emphasized. The Akaike information criterion is proposed for determining the equation order. A procedure for removing spurious noise modes based on modal decomposition of the sample covariance matrix is derived. The role of the singular value decomposition method in solving the modified Yule-Walker equations is discussed. A number of techniques for estimating MA spectral parameters are presented.