Detail publikace

Comparison of methods for AR coefficients estimation

KLEJMOVÁ, E.

Originální název

Comparison of methods for AR coefficients estimation

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

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

Autoři

KLEJMOVÁ, E.

Rok RIV

2015

Vydáno

17. 8. 2015

ISBN

978-80-214-5239-8

Kniha

Sborník příspěvků studentské konference Kohútka 2015

Číslo edice

1

Strany od

15

Strany do

17

Strany počet

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"
}