Methods of Signal Processing

On Guaranteed Estimation of the Spectral Density of an Autoregression?Moving Average Process

V. V. Konev, D. V. Shapovalov


Abstract: An estimate for the spectral density of a stationary autoregression-moving average process with a given mean-square accuracy is proposed. In the construction of the estimate, we use the sequential analysis approach, which involves a special choice of the observation termination instant, depending on the estimation accuracy. An asymptotic formula for the average number of observations is obtained.

UDC: 621.391.1:519.27

Received: 02.07.2001

 English version: Problems of Information Transmission, 2002, 38:1, 80–95

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