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Optimal Yule Walker Method for Pole Estimation of ARMA Signals
KTH, Superseded Departments, Signals, Sensors and Systems.ORCID iD: 0000-0002-6855-5868
Uppsala University, Uppsala, Sweden.
2003 (English)In: IFAC Symp on System Identification, 2003Conference paper, Published paper (Refereed)
Abstract [en]

In this paper we reconsider the analysis and implementation of weighted YuleWalker or instrumental variable methods for estimating the AR parameters of ARMA signals.We present a simplified analysis and propose a new estimate of the optimal weighting matrixleading to more accurate parameter estimates compared to previous approaches.

Place, publisher, year, edition, pages
2003.
Keyword [en]
time series models, parameter estimation
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:kth:diva-82681OAI: oai:DiVA.org:kth-82681DiVA: diva2:498505
Conference
13'th IFAC Symp on System Identification, Rotterdam, The Netherlands, Aug 27-29 , 2003.
Note
NR 20140805Available from: 2012-02-12 Created: 2012-02-12 Last updated: 2012-02-12Bibliographically approved

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Jansson, Magnus

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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