Estimation of the autoregressive parameters from observations of a noise corrupted autoregressive time series

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn 1982-May, Issue , 1982, Pages 228-231

  Gingras, Donald F ^a  

^a Naval Command   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ACOUSTIC NOISE; AUDIO SIGNAL PROCESSING; COVARIANCE MATRIX; GAUSSIAN NOISE (ELECTRONIC); POLES; SPEECH COMMUNICATION; TIME SERIES; WHITE NOISE;

ASYMPTOTIC COVARIANCE MATRIX; AUTO REGRESSIVE PROCESS; AUTOREGRESSIVE MOVING AVERAGE; AUTOREGRESSIVE MOVING AVERAGE ARMA PROCESS; AUTOREGRESSIVE PARAMETERS; AUTOREGRESSIVE TIME SERIES; MULTIVARIATE NORMAL; YULE-WALKER EQUATIONS;

PARAMETER ESTIMATION;

EID: 84941544232     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.1982.1171617     Document Type: Conference Paper

References (5)

1. AM Walker, "Some consequences of superimposed error in time series analysis/' Biometrika, vol 47, p 33-43, 1960.
2. M Pagano, "Estimation of models of autoregres- sive signal plus white noise Ann Statist, vol 2, no1, p 99-108, 1974.
3. W Gersch, "Estimation of the autoregressive parame ters of a mixed autoregressive moving average time series/' IEEE Trans Automat Contr, vol AC-15, p 583-588, 1970.
4. E Parzen, "Efficient estimation of stationary time series mixed schemes/' Stanford U, Tech Report 16 on contract Nonr-225(80), 1971.
5. DF Gingras, "Asymptotic normality of autore gressive parameter estimates for mixed time series, " Tech Report 733, Naval Ocean Systems, San Diego, CA, 1981.