Statistical analysis of a spectral estimator for ARMA processes

DOI10.1109/TAC.1980.1102248zbMath0428.62059OpenAlexW2040444972MaRDI QIDQ3865323

Hidekatsu Tokumaru, Hideaki Sakai

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1109/tac.1980.1102248

zbMATH Keywords

numerical calculationsautoregressive moving averageARMA processesperiodogram techniqueasymptotic variances of spectral estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Approximate maximum-likelihood approach to ARMA spectral estimation

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