An efficient linear method for ARMA spectral estimation
作者:
RANDOLPHL. MOSES,
VIRGINIJA ŠIMONYTÉ,
PETRE STOICA,
TORSTEN SÖDERSTRÖM,
期刊:
International Journal of Control
(Taylor Available online 1994)
卷期:
Volume 59,
issue 2
页码: 337-356
ISSN:0020-7179
年代: 1994
DOI:10.1080/00207179408923081
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A three-step method for obtaining asymptotically maximum likelihood ARMA spectral estimates using only linear transformations of the data is presented. The computational efficiency of the algorithm is comparable to that of Yule-Walker algorithms, but the three-step method gives asymptotically statistically efficient estimates. The implementation of the algorithm is discussed in detail, and numerical examples are presented to illustrate its performance.
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