Time series analysis in the frequency domain

This correspondence presents a parametric frequency domain identification algorithm for autoregressive moving average (ARMA) processes that does not suffer from spectral leakage errors. It is based on an extended transfer function model that takes into account the begin and end effect of the finite data record. The relationship with the one-step-ahead prediction error method is established. The advantages of the proposed method are easy prefiltering and leakage-free spectral representation of the raw data.