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 :
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