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

Wilbert Dijkhof, Einar Wensink

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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 languageEnglish
Title of host publicationEusipco 2000 CD-ROM Proceedings
Subtitle of host publicationX European Signal Processing Conference, September 4-8, 2000 Tampere, Finland
EditorsMoncef Gabbouj, Pauli Kuosmanen
PublisherEURASIP, European Association for Signal, Speech and Image Processing
Pages172-172
ISBN (Print)952-15-0443-3
Publication statusPublished - 27 Jan 2000

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