An asymptotically efficient ARMA estimator based on sample covariances

DOI10.1109/TAC.1986.1104176zbMath0607.93053MaRDI QIDQ3748167

Arye Nehorai, Petre Stoica

Publication date: 1986

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

zbMATH Keywords

ARMA modelsasymptotically efficient estimatorsample covariances

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items (1)

Approximate maximum likelihood frequency estimation

This page was built for publication: An asymptotically efficient ARMA estimator based on sample covariances