Title :
An efficient linear method for ARMA spectral estimation
Author :
Moses, R. ; Stoica, P. ; Friedlander, B. ; Söderström, T.
Author_Institution :
The Ohio State University, Columbus, OH
Abstract :
A three step method for obtaining nearly maximum likelihood ARMA spectral estimates is presented. The computational complexity of the algorithm is comparable to Yule-Walker methods, but the method gives asymptotically efficient estimates. The implementation of the algorithm is discussed, and numerical examples are presented to illustrate its performance.
Keywords :
Bandwidth; Covariance matrix; Density functional theory; Equations; Maximum likelihood estimation; Parameter estimation; Polynomials; Statistics;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.
DOI :
10.1109/ICASSP.1987.1169393
