Title :
Statistical analysis of a spectral estimator for ARMA processes
Author :
Sakai, Hideaki ; Tokumaru, Hidekatsu
Author_Institution :
Kyoto University, Kyoto, Japan
fDate :
2/1/1980 12:00:00 AM
Abstract :
We derive the asymptotic variances of a spectral estimator for autoregressive moving average (ARMA) processes, proposed independently by Kinkel, Tokumaru, and Kaveh. The property of the variances is rather different from that of the well-known autoregressive spectral estimator.
Keywords :
Autoregressive moving-average processes; Spectral estimation; Automatic control; Estimation error; Frequency estimation; Nonlinear equations; Parameter estimation; Sampling methods; Statistical analysis; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102248
