Approximate maximum-likelihood approach to ARMA spectral estimation
Petre Stoica, B. Friedlander, Torsten Söderström · International Journal of Control · 1987
A three-step approximate maximum-likelihood method for ARMA spectral estimation is derived, based on an idea due to Walker. The asymptotic properties of the proposed estimator are investigated and an explicit expression for its asymptotic covariance matrix is presented. The estimator provides the asymptotic accuracy of a maximum-likelihood technique, at a modest computational cost.