Title :
Large-sample estimation of the AR parameters of an ARMA model
Author :
Stoica, Petre ; Friedlander, Benjamin ; Söderström, T.
Author_Institution :
Institute Politechnic Bucuresti, Bucharest, Romania
fDate :
9/1/1985 12:00:00 AM
Abstract :
The purpose of this note is to show that the optimal instrumental-variable estimate of the AR parameters of an ARMA model, recently proposed in [1] can also be interpreted as a large-sample approximation of a maximum-likelihood estimate.
Keywords :
Autoregressive moving-average processes; Adaptive filters; Asymptotic stability; Automatic control; Control system analysis; Control systems; Instruments; Linear matrix inequalities; Maximum likelihood estimation; Parameter estimation; Spectral analysis;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1985.1104068
