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
fDate :
8/1/1985 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1985.1104047
