ON-LINE ARMA SPECTRAL ESTIMATION.
TS Ng · The HKU Scholars Hub (University of Hong Kong) · 1985
This paper proposes an online algorithm for ARMA spectral estimation which implements the approximate maximum likelihood method by updating the U and D factors of the information matrix corresponding to the parameters. Simulated examples are given to compare the performances of the ARMA spectral estimator with the AR methods and the periodogram.