Autoregressive spectral estimation in additive noise

DOI10.1109/29.1553zbMath0648.62097OpenAlexW2097872486MaRDI QIDQ3793583

Elias Masry, Donald F. Gingras

Publication date: 1988

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

Full work available at URL: https://semanticscholar.org/paper/019a4bbc11260bfa40b32a7b158af9aa782e7b57

zbMATH Keywords

central limit theoremsjoint asymptotic normalityspectral estimatorhigh-order Yule-Walker equationsasymptotic expression for the covariance matrix of the limiting distributiondiscrete-parameter stationary Gaussian autoregressive (AR) process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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