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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KTH, Superseded Departments, Signals, Sensors and Systems.ORCID iD: 0000-0002-6855-5868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 (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
Keyword [en]
time series models, parameter estimation
National Category
Signal Processing
URN: urn:nbn:se:kth:diva-82681OAI: diva2:498505
13'th IFAC Symp on System Identification, Rotterdam, The Netherlands, Aug 27-29 , 2003.
NR 20140805Available from: 2012-02-12 Created: 2012-02-12 Last updated: 2012-02-12Bibliographically approved

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