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International Journal of Control Volume 59, 1994 - Issue 2
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Original Articles

An efficient linear method for ARMA spectral estimation

RANDOLPH L. MOSES Department of Electrical Engineering, Ohio State University, Columbus, OH, 43210, U.S.A.
,
VIRGINIJA ŠIMONYTÉ Automatic Control and Systems Analysis Group, Department of Technology, Uppsala University, Box 27, S-751 03, Uppsala, SwedenView further author information
,
PETRE STOICA Automatic Control and Systems Analysis Group, Department of Technology, Uppsala University, Box 27, S-751 03, Uppsala, SwedenView further author information
&
TORSTEN SÖDERSTRÖM Automatic Control and Systems Analysis Group, Department of Technology, Uppsala University, Box, 27, S-751 03, Uppsala, Sweden
Pages 337-356 | Received 22 Aug 1992, Published online: 11 Aug 2011
 
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Abstract

A three-step method for obtaining asymptotically maximum likelihood ARMA spectral estimates using only linear transformations of the data is presented. The computational efficiency of the algorithm is comparable to that of Yule-Walker algorithms, but the three-step method gives asymptotically statistically efficient estimates. The implementation of the algorithm is discussed in detail, and numerical examples are presented to illustrate its performance.

Additional information

Notes on contributors

VIRGINIJA ŠIMONYTÉ

On leave from Institute of Mathematics and Informatics, Akademijos 4, 2600 Vilnius, Lithuania.

PETRE STOICA

On leave from Department of Automatic Control, Polytechnic Institute of Bucharest, Splaiul Independentei 313, R-77206 Bucharest, Romania.

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