Publication detail

Comparison of methods for AR coefficients estimation

KLEJMOVÁ, E.

Original Title

Comparison of methods for AR coefficients estimation

Type

conference paper

Language

English

Original Abstract

The paper aim is to give recommendation for work with methods used for estimation of coefficients of autoregressive process. We investigate Burg and Yule-Walker method using Monte Carlo simulations. Performance of methods is evaluated by precision of estimation for signals of short and long length. The influence of lag order is also examined and compared with Akaike information criterion. The results are presented in graphical form and briefly discussed. Taking these results into account, Yule-Walker method shows better performance in case of long length signals and in case of overvalued lag order. Burg method provide better results in case of short length signal and undervalued lag order.

Keywords

AR process, Yule-Walker method, Burg method, spectral analysis, lag order, AIC

Authors

KLEJMOVÁ, E.

RIV year

2015

Released

17. 8. 2015

ISBN

978-80-214-5239-8

Book

Sborník příspěvků studentské konference Kohútka 2015

Edition number

1

Pages from

15

Pages to

17

Pages count

3

BibTex

@inproceedings{BUT115592,
  author="Eva {Klejmová}",
  title="Comparison of methods for AR coefficients estimation",
  booktitle="Sborník příspěvků studentské konference Kohútka 2015",
  year="2015",
  number="1",
  pages="15--17",
  isbn="978-80-214-5239-8"
}