ARMA Spectral Estimation: An Efficient Closed Form Procedure.
VIRGINIA POLYTECHNIC INST AND STATE UNIV BLACKSBURG DEPT OF ELECTRICAL ENGINEERING
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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
- Statistics and Probability