Abstract
The high-order Yule-Walker equations are used to estimate the autoregressive parameters of an autoregressive moving-average time series. The asymptotic statistical properties of these estimates are derived. It is shown that they are asymptotically unbiased and normal, the covariance matrix of the limit distribution is derived. The special case of estimating the autoregressive parameters of a noise corrupted autoregressive series is also examined.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: IEEE Transactions on Acoustics, Speech, and Signal Processing
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
