Accession Number:

ADA106753

Title:

ARMA Spectral Estimation: An Efficient Closed Form Procedure.

Descriptive Note:

Final rept.,

Corporate Author:

VIRGINIA POLYTECHNIC INST AND STATE UNIV BLACKSBURG DEPT OF ELECTRICAL ENGINEERING

Personal Author(s):

Report Date:

1981-08-01

Pagination or Media Count:

13.0

Abstract:

In this report, an effective procedure for effecting on ARMA spectral model of a time series is described. This procedure is predicated on minimizing as set of basic error terms as generated from an ARMA model that is hypothesized as characterizing the time series under analysis. The spectral estimation performance achieved in using this approach has been empirically found to be generally superior to that obtained using such contemporary methods as maximum entropy and the periodogram. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE