Title :
An approximate maximum likelihood approach to ARMA spectral estimation
Author :
Stoica, P. ; Friedlander, B. ; Soderstrom, T.
Author_Institution :
Institutul Politehnic Bucuresti, Bucharest, Romania
Abstract :
A multi-step approximate maximum likelihood method for ARMA spectral estimation is derived, based on an idea due to Walker. The proposed estimator provides the asymptotic accuracy of a maximum likelihood technique, at a modest computational cost. The asymptotic properties of the estimator are investigated.
Keywords :
Computational efficiency; Maximum likelihood estimation; Polynomials; Q measurement;
Conference_Titel :
Decision and Control, 1985 24th IEEE Conference on
Conference_Location :
Fort Lauderdale, FL, USA
DOI :
10.1109/CDC.1985.268713
