Precision of yule-walker methods for the arma spectral model

Detalhes bibliográficos
Autor(a) principal: Silvestre Bezerra, Manoel I. [UNESP]
Data de Publicação: 2004
Tipo de documento: Artigo de conferência
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: https://www.actapress.com/Abstract.aspx?paperId=18383
http://hdl.handle.net/11449/68043
Resumo: In this work a new method is proposed of separated estimation 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 ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.
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spelling Precision of yule-walker methods for the arma spectral modelARMA spectral estimationBootstrapDigital Signal ProcessingLeast squaresAsymptotic stabilityComputer simulationDigital signal processingFourier transformsFunctionsLeast squares approximationsMathematical modelsMatrix algebraMaximum likelihood estimationMonte Carlo methodsRandom processesVectorsAutoregressive moving average (ARMA)Regression analysisIn this work a new method is proposed of separated estimation 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 ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.Department of Matematics FCT - UNESP, Presidente Prudente - SPDepartment of Matematics FCT - UNESP, Presidente Prudente - SPUniversidade Estadual Paulista (Unesp)Silvestre Bezerra, Manoel I. [UNESP]2014-05-27T11:21:14Z2014-05-27T11:21:14Z2004-12-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObject54-59https://www.actapress.com/Abstract.aspx?paperId=18383Proceedings of the IASTED International Conference on Circuits, Signals, and Systems, p. 54-59.http://hdl.handle.net/11449/680432-s2.0-11144323357Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengProceedings of the IASTED International Conference on Circuits, Signals, and Systemsinfo:eu-repo/semantics/openAccess2024-06-19T14:32:17Zoai:repositorio.unesp.br:11449/68043Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T13:47:55.077536Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Precision of yule-walker methods for the arma spectral model
title Precision of yule-walker methods for the arma spectral model
spellingShingle Precision of yule-walker methods for the arma spectral model
Silvestre Bezerra, Manoel I. [UNESP]
ARMA spectral estimation
Bootstrap
Digital Signal Processing
Least squares
Asymptotic stability
Computer simulation
Digital signal processing
Fourier transforms
Functions
Least squares approximations
Mathematical models
Matrix algebra
Maximum likelihood estimation
Monte Carlo methods
Random processes
Vectors
Autoregressive moving average (ARMA)
Regression analysis
title_short Precision of yule-walker methods for the arma spectral model
title_full Precision of yule-walker methods for the arma spectral model
title_fullStr Precision of yule-walker methods for the arma spectral model
title_full_unstemmed Precision of yule-walker methods for the arma spectral model
title_sort Precision of yule-walker methods for the arma spectral model
author Silvestre Bezerra, Manoel I. [UNESP]
author_facet Silvestre Bezerra, Manoel I. [UNESP]
author_role author
dc.contributor.none.fl_str_mv Universidade Estadual Paulista (Unesp)
dc.contributor.author.fl_str_mv Silvestre Bezerra, Manoel I. [UNESP]
dc.subject.por.fl_str_mv ARMA spectral estimation
Bootstrap
Digital Signal Processing
Least squares
Asymptotic stability
Computer simulation
Digital signal processing
Fourier transforms
Functions
Least squares approximations
Mathematical models
Matrix algebra
Maximum likelihood estimation
Monte Carlo methods
Random processes
Vectors
Autoregressive moving average (ARMA)
Regression analysis
topic ARMA spectral estimation
Bootstrap
Digital Signal Processing
Least squares
Asymptotic stability
Computer simulation
Digital signal processing
Fourier transforms
Functions
Least squares approximations
Mathematical models
Matrix algebra
Maximum likelihood estimation
Monte Carlo methods
Random processes
Vectors
Autoregressive moving average (ARMA)
Regression analysis
description In this work a new method is proposed of separated estimation 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 ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.
publishDate 2004
dc.date.none.fl_str_mv 2004-12-01
2014-05-27T11:21:14Z
2014-05-27T11:21:14Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/conferenceObject
format conferenceObject
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.actapress.com/Abstract.aspx?paperId=18383
Proceedings of the IASTED International Conference on Circuits, Signals, and Systems, p. 54-59.
http://hdl.handle.net/11449/68043
2-s2.0-11144323357
url https://www.actapress.com/Abstract.aspx?paperId=18383
http://hdl.handle.net/11449/68043
identifier_str_mv Proceedings of the IASTED International Conference on Circuits, Signals, and Systems, p. 54-59.
2-s2.0-11144323357
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Proceedings of the IASTED International Conference on Circuits, Signals, and Systems
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 54-59
dc.source.none.fl_str_mv Scopus
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
_version_ 1808128277201551360

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