Parameter estimation of continuous-time stationary Gaussian processes with rational spectra

DOI10.1007/BF01599009zbMath0637.93067OpenAlexW2620455556MaRDI QIDQ1099122

Boaz Porat, Benjamin Friedlander

Publication date: 1987

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01599009

zbMATH Keywords

parameter estimationGaussian processcontinuous-timemonotonic scalable choicerandom preference specificationssampled ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Sampled-data control/observation systems (93C57) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

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• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• A general lower bound for parametric spectrum estimation

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