• DocumentCode
    851375
  • Title

    An asymptotically efficient ARMA estimator based on sample covariances

  • Author

    Stoica, Petre ; Nehorai, Arye

  • Author_Institution
    Institutul Politehnic Bucuresti, Bucharest, Romania
  • Volume
    31
  • Issue
    11
  • fYear
    1986
  • fDate
    11/1/1986 12:00:00 AM
  • Firstpage
    1068
  • Lastpage
    1071
  • Abstract
    An asymptotically efficient autoregressive moving-average (ARMA) spectral estimator is presented, based on the sample covariances of observed time series. The estimate of the autoregressive (AR) part is shown to be identical to the optimal instrumental variable (IV) estimator in [7] although derived here using a different approach. The moving-average (MA) spectral parameter estimate is new.
  • Keywords
    Autoregressive moving-average processes; Covariance analysis; Filtering; Instruments; Integral equations; Linear systems; Markov processes; Maximum likelihood estimation; Nonlinear filters; Parameter estimation; Power capacitors; Stochastic processes;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1986.1104176
  • Filename
    1104176
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=851375