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

School of Electrical Engineering

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

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.

Original language	English
Title of host publication	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
Number of pages	4
ISBN (Electronic)	0769501400, 9780769501406
DOIs	https://doi.org/10.1109/HOST.1999.778733
State	Published - 1999
Event	1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999 - Caesarea, Israel Duration: 14 Jun 1999 → 16 Jun 1999

Publication series

Name	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
Country/Territory	Israel
City	Caesarea
Period	14/06/99 → 16/06/99

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10.1109/HOST.1999.778733

Cite this

Maymon, S., Friedmann, J., & Messer, H. (1999). On AR parameter estimation with alpha stable innovations. In Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999 (pp. 237-240). [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. pp. 237-240 (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999).

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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",

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year = "1999",

doi = "10.1109/HOST.1999.778733",

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Maymon, S, Friedmann, J & Messer, H 1999, On AR parameter estimation with alpha stable innovations. in 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., pp. 237-240, 1999 IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999, Caesarea, Israel, 14/06/99. 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. p. 237-240 778733 (Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999).

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

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Maymon S, Friedmann J, Messer H. On AR parameter estimation with alpha stable innovations. In Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics, SPW-HOS 1999. Institute of Electrical and Electronics Engineers Inc. 1999. p. 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

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