An overview of ARMA spectral estimation techniques based on the modified Yule-Walker
equations is presented. The importance of using order overestimation, as well as of using an …

There are well-known fast algorithms, such as the Levinson recursion, for solving linear
equations with a Toeplitz (or Hankel) coefficient matrix. This paper extends the saving …

A family of algorithms is developed for adaptive parameter estimation of constrained
autoregressive moving-average (ARMA) signals in the presence of noise. These algorithms …

The accuracy with which deterministic modes can be identified from a finite record of noisy
data is determined by computing the Cramer-Rao bound on the error covariance matrix of …

In this paper, an adaptive notch filter is investigated for eliminating sinusoids imbedded in
noise. The algorithm estimates the sinusoidal frequencies directly from data samples to …

The Cramer-Rao lower bound (CRLB) provides a useful tool for evaluating the performance
of parameter estimation techniques. Several techniques for the computation of the …

A simple linear procedure is given to compute the cross-covariance sequence associated
with the outputs of two rational digital transfer functions driven by the same white noise …

For the identification of linear processes on the basis of ARX-models, equation error least
squares (EELS)(often indicated as the one step ahead prediction error method) is frequently …

An implementation of the Newton-Raphson approach to compute the minimum phase
moving-average spectral factor of a finite positive definite correlation sequence is presented …

This paper considers bounds on the statistical efficiency of estimators of the poles and zeros
of an ARMA process based on estimates of the process autocorrelation function (ACF) …