On AR parameter estimation with alpha stable innovations

Shay Maymon; Jonathan Friedmann; Hagit Messer

doi:10.1109/HOST.1999.778733

On AR parameter estimation with alpha stable innovations

Shay Maymon, Jonathan Friedmann, Hagit Messer

نتاج البحث: فصل من :كتاب / تقرير / مؤتمر › منشور من مؤتمر › مراجعة النظراء

ملخص

Several methods have been suggested for estimating the parameters of an auto-regressive (AR) process where the innovation process is an independent, identically distributed (IID) α-stable process. The performance of the proposed algorithms has been studied by simulations. We suggest a novel, maximum likelihood (ML) type method for the same problem. Actually, we suggest use of the ML estimator for the Cauchy distribution for any 1 ≤ α <2. The performance of the proposed method is studied by simulations and its superiority over the existing methods is demonstrated. The simulations have been carried out carefully so the stationarity of the resulting AR process is guaranteed.

اللغة الأصلية	الإنجليزيّة
عنوان منشور المضيف	Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999
ناشر	Institute of Electrical and Electronics Engineers Inc.
الصفحات	237-240
عدد الصفحات	4
رقم المعيار الدولي للكتب (الإلكتروني)	0769501400, 9780769501406
المعرِّفات الرقمية للأشياء	https://doi.org/10.1109/HOST.1999.778733
حالة النشر	نُشِر - 1999
منشور خارجيًا	نعم
الحدث	1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999 - Caesarea, إسرائيل المدة: ١٤ يونيو ١٩٩٩ → ١٦ يونيو ١٩٩٩

سلسلة المنشورات

الاسم	Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999

!!Conference

!!Conference	1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999
الدولة/الإقليم	إسرائيل
المدينة	Caesarea
المدة	١٤/٠٦/٩٩ → ١٦/٠٦/٩٩

ملاحظة ببليوغرافية

Publisher Copyright:
© 1999 IEEE.

الوصول إلى المستند

10.1109/HOST.1999.778733

الملفات والروابط الأخرى

Link to publication in Scopus

قم بذكر هذا

Maymon, S., Friedmann, J., & Messer, H. (1999). On AR parameter estimation with alpha stable innovations. في Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999 (الصفحات 237-240). المقال 778733 (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/HOST.1999.778733

Maymon, Shay ; Friedmann, Jonathan ; Messer, Hagit. / On AR parameter estimation with alpha stable innovations. Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999. Institute of Electrical and Electronics Engineers Inc., 1999. الصفحات 237-240 (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999).

@inproceedings{922c164ce8c94fd0ac4139381d3cb5d4,

title = "On AR parameter estimation with alpha stable innovations",

abstract = "Several methods have been suggested for estimating the parameters of an auto-regressive (AR) process where the innovation process is an independent, identically distributed (IID) α-stable process. The performance of the proposed algorithms has been studied by simulations. We suggest a novel, maximum likelihood (ML) type method for the same problem. Actually, we suggest use of the ML estimator for the Cauchy distribution for any 1 ≤ α <2. The performance of the proposed method is studied by simulations and its superiority over the existing methods is demonstrated. The simulations have been carried out carefully so the stationarity of the resulting AR process is guaranteed.",

author = "Shay Maymon and Jonathan Friedmann and Hagit Messer",

note = "Publisher Copyright: {\textcopyright} 1999 IEEE.; 1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999 ; Conference date: 14-06-1999 Through 16-06-1999",

year = "1999",

doi = "10.1109/HOST.1999.778733",

language = "אנגלית",

series = "Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "237--240",

booktitle = "Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999",

address = "ארצות הברית",

}

Maymon, S, Friedmann, J & Messer, H 1999, On AR parameter estimation with alpha stable innovations. في Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999., 778733, Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999, Institute of Electrical and Electronics Engineers Inc., الصفحات 237-240, 1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999, Caesarea, إسرائيل, ١٤/٠٦/٩٩. https://doi.org/10.1109/HOST.1999.778733

On AR parameter estimation with alpha stable innovations. / Maymon, Shay; Friedmann, Jonathan; Messer, Hagit.
Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999. Institute of Electrical and Electronics Engineers Inc., 1999. صفحة 237-240 778733 (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999).

نتاج البحث: فصل من :كتاب / تقرير / مؤتمر › منشور من مؤتمر › مراجعة النظراء

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AB - Several methods have been suggested for estimating the parameters of an auto-regressive (AR) process where the innovation process is an independent, identically distributed (IID) α-stable process. The performance of the proposed algorithms has been studied by simulations. We suggest a novel, maximum likelihood (ML) type method for the same problem. Actually, we suggest use of the ML estimator for the Cauchy distribution for any 1 ≤ α <2. The performance of the proposed method is studied by simulations and its superiority over the existing methods is demonstrated. The simulations have been carried out carefully so the stationarity of the resulting AR process is guaranteed.

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Maymon S, Friedmann J, Messer H. On AR parameter estimation with alpha stable innovations. في Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999. Institute of Electrical and Electronics Engineers Inc. 1999. صفحة 237-240. 778733. (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999). doi: 10.1109/HOST.1999.778733

On AR parameter estimation with alpha stable innovations

ملخص

سلسلة المنشورات

!!Conference

ملاحظة ببليوغرافية

الوصول إلى المستند

الملفات والروابط الأخرى

بصمة

قم بذكر هذا