Autoregressive order selection in missing data problems

European Signal Processing Conference

Volumn 06-10-September-2004, Issue , 2015, Pages 2159-2162

  Broersen, P M T ^a   Bos, R ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

MAXIMUM LIKELIHOOD ESTIMATION;

AUTO REGRESSIVE MODELS; AUTO-REGRESSIVE; MAXIMUM LIKELIHOOD ALGORITHM; MISSING DATA PROBLEM; NUMERICAL PROBLEMS; ORDER SELECTION; SPECTRAL ESTIMATE; TIME SERIES MODELS;

SIGNAL PROCESSING;

EID: 84979894443     PISSN: 22195491     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (7)

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2. P. M. T. Broersen, S. de Waele and R. Bos, "Autoregressive spectral analysis when observations are missing". Automatica, vol. 40, 2004.
3. R. H. Jones, "Maximum likelihood fitting of ARMA models to time series with missing observations". Technometrics, vol. 22, no 3, pp. 389-395, 1980.
4. M. B. Priestley, Spectral Analysis and Time Series, London, Ac. Press, 1981.
5. P. M. T. Broersen, "Automatic spectral analysis with time series models". IEEE Trans. on Instrumentation and Measurement, vol. 51, no. 2, pp. 211-216, 2002.
6. S. M. Kay and S. L. Marple, "Spectrum analysis-a modem perspective". Proc. IEEE, vol. 69, pp. 1380-1419, 1981.
7. P. M. T. Broersen, "Finite sample criteria for autoregressive order selection". IEEE Trans. on Signal Processing, vol. 48, pp. 3550-3558, 2000.