论文信息 - A spectral matching technique for ARMA parameter estimation

A spectral matching technique for ARMA parameter estimation

An iterative frequency domain technique is presented for estimating AR-plus-noise and autoregressive moving-average (ARMA) parameters. The technique is based on minimizing the error between the sample power spectrum and a spectral model. The variance of the estimation error is shown to be close to the Cramer-Rao bound for some examples.

Benjamin Friedlander | B. Porat

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