A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model

DOI10.1016/0167-6911(88)90082-5zbMath0647.93065OpenAlexW2049777333MaRDI QIDQ1104907

Benjamin Friedlander, Torsten Söderström, Petre Stoica

Publication date: 1988

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(88)90082-5

zbMATH Keywords

parameter estimationARMA processeshigh-order Yule-Walker method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

Related Items (1)

A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model

Cites Work

• Unnamed Item
• On covariance function tests used in system identification
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• On a procedure for testing the order of time series
• Spectral estimation via the high-order Yule-Walker equations

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