An efficient linear method for ARMA spectral estimation

DOI10.1080/00207179408923081zbMath0802.93059OpenAlexW1989311619MaRDI QIDQ4286535

Petre Stoica, Randolph L. Moses, Virginija Šimonytė, Torsten Söderström

Publication date: 27 March 1994

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179408923081

zbMATH Keywords

numerical examplesARMA spectral estimatesYule-Walker algorithms

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Related Items (1)

A Bayesian analysis of spectral ARMA model

Cites Work

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• Model-structure selection by cross-validation
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• Approximate maximum-likelihood approach to ARMA spectral estimation
• On a procedure for testing the order of time series
• Optimal nonnegative definite approximations of estimated moving average covariance sequences
• Spectral estimation via the high-order Yule-Walker equations

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