On finite sample statistics for Yule-Walker estimates

DOI10.1109/TIT.2002.807310zbMath1063.94519MaRDI QIDQ4679932

Wilbert J. Dijkhof, Einar Wensink

Publication date: 31 May 2005

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Novel parameter estimation of autoregressive signals in the presence of noise ⋮ Closed-loop estimation for randomly sampled measurements in target tracking system

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