LEAST-SQUARES, YULE-WALKER, AND OVERDETERMINED YULE-WALKER ESTIMATION OF AR PARAMETERS - A MONTE-CARLO ANALYSIS OF FINITE-SAMPLE PROPERTIES

被引：10

作者：

STOICA, P

FRIEDLANDER, B

SODERSTROM, T

机构：

[1] SYST CONTROL TECHNOL INC,PALO ALTO,CA 94304

[2] UNIV UPPSALA,INST TECHNOL,DEPT AUTOMAT CONTROL & SYST ANAL,S-75121 UPPSALA,SWEDEN

来源：

INTERNATIONAL JOURNAL OF CONTROL | 1986年 / 43卷 / 01期

关键词：

D O I：

10.1080/00207178608933446

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

引用

页码：13 / 27

页数：15

共 12 条

[1] Finite-Sample Bias in the Yule-Walker Method of Autoregressive Estimation
Broersen, Piet M. T.
[J]. 2008 IEEE INSTRUMENTATION AND MEASUREMENT TECHNOLOGY CONFERENCE, VOLS 1-5, 2008, : 342 - 347
[2] Finite-Sample Bias Propagation in Autoregressive Estimation With the Yule-Walker Method
Broersen, Piet M. T.
[J]. IEEE TRANSACTIONS ON INSTRUMENTATION AND MEASUREMENT, 2009, 58 (05) : 1354 - 1360
[3] On finite sample statistics for Yule-Walker estimates
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[J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 2003, 49 (02) : 509 - 516
[4] Pole estimation by the Yule-Walker equation and the total least squares algorithm
Mossberg, Magnus
[J]. 2006 AMERICAN CONTROL CONFERENCE, VOLS 1-12, 2006, 1-12 : 1683 - 1688
[5] The Yule-Walker equations as a weighted least-squares problem and the association with tapering
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Lee, Bee Leng
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (17) : 5112 - 5122
[6] A HIGH-ORDER YULE-WALKER METHOD FOR ESTIMATION OF THE AR PARAMETERS OF AN ARMA MODEL
STOICA, P
FRIEDLANDER, B
SODERSTROM, T
[J]. SYSTEMS & CONTROL LETTERS, 1988, 11 (02) : 99 - 105
[7] Yule-walker equations applied to hessians of the characteristic function for improved AR estimation
Yeredor, Arie
[J]. 2007 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL III, PTS 1-3, PROCEEDINGS, 2007, : 1025 - 1028
[8] HIGH-ORDER YULE-WALKER ESTIMATION OF THE PARAMETERS OF EXPONENTIALLY DAMPED CISOIDS IN NOISE
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[J]. SIGNAL PROCESSING, 1993, 32 (03) : 315 - 328
[9] Analysis of Electromechanical Modes Using Multichannel Yule-Walker Estimation of a Multivariate Autoregressive Model
Seppanen, Janne M.
Turunen, Jukka
Haarla, Liisa C.
Koivisto, Matti
Kishor, Nand
[J]. 2013 4TH IEEE/PES INNOVATIVE SMART GRID TECHNOLOGIES EUROPE (ISGT EUROPE), 2013,
[10] ASYMPTOTIC PROPERTIES OF HIGH-ORDER YULE-WALKER ESTIMATES OF THE AR PARAMETERS OF AN ARMA TIME-SERIES
GINGRAS, DF
[J]. IEEE TRANSACTIONS ON ACOUSTICS SPEECH AND SIGNAL PROCESSING, 1985, 33 (05): : 1095 - 1101

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