Title :
A realization method of an ARMAX lattice filter
Author :
Haseyama, Miki ; Kitajima, Hideo
Author_Institution :
Sch. of Eng., Hokkaido Univ., Sapporo, Japan
fDate :
2/1/1997 12:00:00 AM
Abstract :
This paper proposes a realization method of an ARMAX lattice filter for frequency-weighting ARMAX model identification. The proposed lattice filter uses an exponentially weighted sliding window for the same application as the extended least squares (ELS) achieves. Based on the proposed structure, the algorithm can perform the frequency-weighting model identification more easily than the ELS. Further, applied to the ARMAX model identification, the proposed algorithm requires fewer multiplications than the ELS does
Keywords :
autoregressive moving average processes; filtering theory; identification; lattice filters; recursive filters; ARMAX lattice filter; exponentially weighted sliding window; extended least squares; frequency-weighting ARMAX model identification; multiplications; Approximation methods; Finite impulse response filter; Floating-point arithmetic; Frequency; IIR filters; Lattices; Roundoff errors; Signal processing; Signal processing algorithms; Upper bound;
Journal_Title :
Signal Processing, IEEE Transactions on
