An Efficient Linear Method of Arma Spectral Estimation
نویسنده
چکیده
A three step method for obtaining nearly maximum likelihood ARMA spectral estimates is presented. The computational complexity of the algorithm is comparable to YuleWalker methods, but the method gives asymptotically efficient estimates. The implementation of the algorithm is discussed, and numerical examples are presented to illustrate its performance.
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تاریخ انتشار 2002