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A note on spectral estimation for ARMA processes

โœ Scribed by Hannagan, G. M.; Thomson, P. J.


Book ID
127223686
Publisher
Taylor and Francis Group
Year
1983
Tongue
English
Weight
225 KB
Volume
18
Category
Article
ISSN
0094-9655

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## An improvement of a batch algorithm for parameter estimation of an ARMA process is presented. A fast and iterative algorithm is presented, and provides estimates with the same asymptotic distribution as the maximum likelihood estimates. This algorithm is a modified version of the method suggest