Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances

DOI10.1109/TAC.1986.1104325zbMath0589.93061OpenAlexW1978654083MaRDI QIDQ3718598

Boaz Porat, Benjamin Friedlander

Publication date: 1986

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1986.1104325

zbMATH Keywords

lower boundasymptotic covariance matrixsample covariancesautoregressive moving-average estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (5)

An efficient linear method for ARMA spectral estimation ⋮ A fast estimation method for ARMA processes ⋮ The role of vector autoregressive modeling in predictor-based subspace identification ⋮ Choice of least-squares algorithms for the identification of ARM AX dynamic systems ⋮ Approximate maximum likelihood frequency estimation

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