APPROXIMATE MAXIMUM LIKELIHOOD ARMA ESTIMATOR BASED ON THE POWER CEPSTRUM.

Authors

Steven M. Kay, University of Rhode IslandFollow
Leland B. Jackson, University of Rhode IslandFollow
Jianguo Huang, University of Rhode Island
Petar M. Djuric, University of Rhode Island

Document Type

Conference Proceeding

Date of Original Version

1-1-1988

Abstract

An approximate maximum-likelihood estimator is derived for ARMA (autoregressive moving-average) processes and is shown to correspond to least-squares fitting of the estimated cepstrum of the process by the model cepstrum. Experiments with several simple ARMA (1,1) processes show that the pole estimates are essentially unbiased, with variances that exceed the Cramer-Rao bound by a factor of only about two. The performance for the zero is similar if the pole and zero are not far apart, but otherwise the zero estimate is biased and has a large variance for this and all other methods tested.

Publication Title, e.g., Journal

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Citation/Publisher Attribution

Kay, Steven M., Leland B. Jackson, Jianguo Huang, and Petar M. Djuric. "APPROXIMATE MAXIMUM LIKELIHOOD ARMA ESTIMATOR BASED ON THE POWER CEPSTRUM.." ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings (1988): 2344-2347. https://digitalcommons.uri.edu/ele_facpubs/631