AN EFFICIENT LINEAR METHOD FOR ARMA SPECTRAL ESTIMATION

Authors
MOSES RL SIMONYTE V STOICA P SODERSTROM T
Citation
Rl. Moses et al., AN EFFICIENT LINEAR METHOD FOR ARMA SPECTRAL ESTIMATION, International Journal of Control, 59(2), 1994, pp. 337-356
Citations number
23
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control
Journal title
International Journal of Control → ACNP
ISSN journal
00207179
Volume
59
Issue
2
Year of publication
1994
Pages
337 - 356
Database
ISI
SICI code
0020-7179(1994)59:2<337:AELMFA>2.0.ZU;2-T
Abstract
A three-step method for obtaining asymptotically maximum likelihood AR MA spectral estimates using only linear transformations of the data is presented. The computational efficiency of the algorithm is comparabl e to that of Yule-Walker algorithms, but the three-step method gives a symptotically statistically efficient estimates. The implementation of the algorithm is discussed in detail, and numerical examples are pres ented to illustrate its performance.