Small sample properties of the Yule-Walker method for autoregressive parameter estimation

Wilbert Dijkhof; Einar Wensink

Small sample properties of the Yule-Walker method for autoregressive parameter estimation

Wilbert Dijkhof, Einar Wensink

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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Abstract

In this paper we will give the expectation of (the square of) the reflection coefficient, residual variance and prediction error in small sample statistics in white noise. We will construct approximations of these expectations which are more accurate than the known first order Taylor approximations. We need these better approximations because in some applications (radar applications for example) the number of observations is small.

Original language	English
Title of host publication	Eusipco 2000 CD-ROM Proceedings
Subtitle of host publication	X European Signal Processing Conference, September 4-8, 2000 Tampere, Finland
Editors	Moncef Gabbouj, Pauli Kuosmanen
Publisher	EURASIP, European Association for Signal, Speech and Image Processing
Pages	172-172
ISBN (Print)	952-15-0443-3
Publication status	Published - 27 Jan 2000

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Dijkhof, W., & Wensink, E. (2000). Small sample properties of the Yule-Walker method for autoregressive parameter estimation. In M. Gabbouj, & P. Kuosmanen (Eds.), Eusipco 2000 CD-ROM Proceedings: X European Signal Processing Conference, September 4-8, 2000 Tampere, Finland (pp. 172-172). Article ThuAmOR1 EURASIP, European Association for Signal, Speech and Image Processing.

Dijkhof, Wilbert ; Wensink, Einar. / Small sample properties of the Yule-Walker method for autoregressive parameter estimation. Eusipco 2000 CD-ROM Proceedings: X European Signal Processing Conference, September 4-8, 2000 Tampere, Finland. editor / Moncef Gabbouj ; Pauli Kuosmanen. EURASIP, European Association for Signal, Speech and Image Processing, 2000. pp. 172-172

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Small sample properties of the Yule-Walker method for autoregressive parameter estimation. / Dijkhof, Wilbert; Wensink, Einar.
Eusipco 2000 CD-ROM Proceedings: X European Signal Processing Conference, September 4-8, 2000 Tampere, Finland. ed. / Moncef Gabbouj; Pauli Kuosmanen. EURASIP, European Association for Signal, Speech and Image Processing, 2000. p. 172-172 ThuAmOR1.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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AU - Wensink, Einar

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PB - EURASIP, European Association for Signal, Speech and Image Processing

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Small sample properties of the Yule-Walker method for autoregressive parameter estimation

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