DocumentCode
850071
Title
Asymptotic analysis of the bias of the modified Yule-Walker estimator
Author
Porat, Boaz ; Friedlander, Benjamin
Author_Institution
Technion--Israel Institute of Technology, Haifa, Israel
Volume
30
Issue
8
fYear
1985
fDate
8/1/1985 12:00:00 AM
Firstpage
765
Lastpage
767
Abstract
An explicit formula is derived for the asymptotic bias in the autoregressive estimates obtained by the modified Yule-Walker method. The sample bias obtained in Monte-Carlo simulations is compared to the theoretical formulas for two examples.
Keywords
Autoregressive moving-average processes; Analysis of variance; Control systems; Covariance matrix; Equations; Estimation error; H infinity control; Parameter estimation; Polynomials; Strontium;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1985.1104047
Filename
1104047
Link To Document