An Asymptotically Efficient ARMA Estimator Based on Sample Covariances

Petre Stoica; Arye Nehorai

doi:10.1109/TAC.1986.1104176

An Asymptotically Efficient ARMA Estimator Based on Sample Covariances

Petre Stoica, Arye Nehorai

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Abstract

An asymptotically efficient autoregressive moving-average (ARMA) spectral estimator is presented, based on the sample covariances of observed time series. The estimate of the autoregressive (AR) part is shown to be identical to the optimal instrumental variable (IV) estimator in [7] although derived here using a different approach. The moving-average (MA) spectral parameter estimate is new.

Original language	English
Pages (from-to)	1068-1071
Number of pages	4
Journal	IEEE Transactions on Automatic Control
Volume	31
Issue number	11
DOIs	https://doi.org/10.1109/TAC.1986.1104176
State	Published - Nov 1986

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10.1109/TAC.1986.1104176

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title = "An Asymptotically Efficient ARMA Estimator Based on Sample Covariances",

abstract = "An asymptotically efficient autoregressive moving-average (ARMA) spectral estimator is presented, based on the sample covariances of observed time series. The estimate of the autoregressive (AR) part is shown to be identical to the optimal instrumental variable (IV) estimator in [7] although derived here using a different approach. The moving-average (MA) spectral parameter estimate is new.",

author = "Petre Stoica and Arye Nehorai",

year = "1986",

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AB - An asymptotically efficient autoregressive moving-average (ARMA) spectral estimator is presented, based on the sample covariances of observed time series. The estimate of the autoregressive (AR) part is shown to be identical to the optimal instrumental variable (IV) estimator in [7] although derived here using a different approach. The moving-average (MA) spectral parameter estimate is new.

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EP - 1071

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

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ER -

An Asymptotically Efficient ARMA Estimator Based on Sample Covariances

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