Precision of yule-walker methods for the arma spectral model

dc.contributorUniversidade Estadual Paulista (Unesp)
dc.date.accessioned2014-05-27T11:21:14Z
dc.date.available2014-05-27T11:21:14Z
dc.date.created2014-05-27T11:21:14Z
dc.date.issued2004-12-01
dc.identifierProceedings of the IASTED International Conference on Circuits, Signals, and Systems, p. 54-59.
dc.identifierhttp://hdl.handle.net/11449/68043
dc.identifier2-s2.0-11144323357
dc.description.abstractIn this work a new method is proposed of separated estimation for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing an AR filtering in the random process generated obtaining a new random estimate, which will reestimate the ARMA model parameters, given a better spectrum estimate. Some numerical examples will be presented in order to ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.
dc.languageeng
dc.relationProceedings of the IASTED International Conference on Circuits, Signals, and Systems
dc.rightsAcesso aberto
dc.sourceScopus
dc.subjectARMA spectral estimation
dc.subjectBootstrap
dc.subjectDigital Signal Processing
dc.subjectLeast squares
dc.subjectAsymptotic stability
dc.subjectComputer simulation
dc.subjectDigital signal processing
dc.subjectFourier transforms
dc.subjectFunctions
dc.subjectLeast squares approximations
dc.subjectMathematical models
dc.subjectMatrix algebra
dc.subjectMaximum likelihood estimation
dc.subjectMonte Carlo methods
dc.subjectRandom processes
dc.subjectVectors
dc.subjectAutoregressive moving average (ARMA)
dc.subjectRegression analysis
dc.titlePrecision of yule-walker methods for the arma spectral model
dc.typeActas de congresos


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