Method of noise-robust estimation of parameters of an autoregressive model in the frequency domain

DOI10.1007/s10559-021-00409-yzbMath1479.62078OpenAlexW3204556412MaRDI QIDQ2058705

V. K. Zadiraka, Ye. V. Semenova, V. Yu. Semenov

Publication date: 9 December 2021

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-021-00409-y

zbMATH Keywords

fast Fourier transformautoregressive modellikelihood functionexpectation-maximization methodautoregressive (AR) signal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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