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A recursive maximum likelihood algorithm for ARMA spectral estimation

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1 Author(s)

A spectral estimation technique is presented for autoregressive moving-average (ARMA) processes. The technique is based on a parameter estimation technique known as the rec ursive maximum likelihood (RML) method. The recursive spectral estimation algorithm is presented and its asymptotic properties are discussed. Simulation results are presented to illustrate the performance of the estimator for various types of data.

Published in:

IEEE Transactions on Information Theory  (Volume:28 ,  Issue: 4 )