Precision of Yule-Walker Methods for the ARMA Spectral Model

M.I. Silvestre Bezerra (Brazil)


Digital Signal Processing; ARMA spectral estimation; leastsquares; bootstrap


In this work a new method is proposed of separated estima tion for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing an AR filtering in the random process generated obtaining a new random estimate, which will reestimate the ARMA model parameters, given a better spectrum estimate. Some numerical examples will be presented in order to ilus trate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.

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