Title :
An asymptotically efficient ARMA estimator based on sample covariances
Author :
Stoica, Petre ; Nehorai, Arye
Author_Institution :
Institutul Politehnic Bucuresti, Bucharest, Romania
fDate :
11/1/1986 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104176
