Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation

DOI10.1109/TASSP.1984.1164389zbMath0584.62148MaRDI QIDQ3707199

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Publication date: 1984

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

zbMATH Keywords

zeroswhite noiseARMA processautocorrelationpolesefficiency boundsCramér-Rao boundsgeneralized error covariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

Approximate maximum-likelihood approach to ARMA spectral estimation ⋮ On fault detectability and isolability ⋮ Bartlett's formulae -- closed forms and recurrent equations ⋮ Approximate maximum likelihood frequency estimation

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