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An efficient linear method for ARMA spectral estimation

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4 Author(s)
Moses, R. ; The Ohio State University, Columbus, OH ; Stoica, P. ; Friedlander, B. ; Soderstrom, T.

A three step method for obtaining nearly maximum likelihood ARMA spectral estimates is presented. The computational complexity of the algorithm is comparable to Yule-Walker methods, but the method gives asymptotically efficient estimates. The implementation of the algorithm is discussed, and numerical examples are presented to illustrate its performance.

Published in:

Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.  (Volume:12 )

Date of Conference:

Apr 1987

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