• DocumentCode
    850265
  • Title

    Large-sample estimation of the AR parameters of an ARMA model

  • Author

    Stoica, Petre ; Friedlander, Benjamin ; Söderström, T.

  • Author_Institution
    Institute Politechnic Bucuresti, Bucharest, Romania
  • Volume
    30
  • Issue
    9
  • fYear
    1985
  • fDate
    9/1/1985 12:00:00 AM
  • Firstpage
    891
  • Lastpage
    893
  • Abstract
    The purpose of this note is to show that the optimal instrumental-variable estimate of the AR parameters of an ARMA model, recently proposed in [1] can also be interpreted as a large-sample approximation of a maximum-likelihood estimate.
  • Keywords
    Autoregressive moving-average processes; Adaptive filters; Asymptotic stability; Automatic control; Control system analysis; Control systems; Instruments; Linear matrix inequalities; Maximum likelihood estimation; Parameter estimation; Spectral analysis;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1985.1104068
  • Filename
    1104068
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=850265