An approximate maximum likelihood approach to ARMA spectral estimation
Petre Stoica, B. Friedlander, Torsten Söderström · 1985
A multi-step approximate maximum likelihood method for ARMA spectral estimation is derived, based on an idea due to Walker. The proposed estimator provides the asymptotic accuracy of a maximum likelihood technique, at a modest computational cost. The asymptotic properties of the estimator are investigated.