DocumentCode
3066783
Title
The recursive linear identification method for ARMA model estimation
Author
Liang, G. ; Wilkes, D.M.
Author_Institution
Dept. of Electr. Eng., Vanderbilt Univ., Nashville, TN, USA
fYear
1992
fDate
12-15 Apr 1992
Firstpage
677
Abstract
A novel recursive method for estimating the parameters of autoregressive moving-average (ARMA) models is presented. The recursive linear identification method is basically developed from an offline linear identification technique due to J. Durbin (1960). An integral part of this approach requires the fitting of a large order autoregressive model to the data. The appropriate choice of the size of this model is also discussed. Simulation results are given to illustrate the performance of the proposed algorithm
Keywords
identification; parameter estimation; recursive functions; spectral analysis; statistical analysis; ARMA model estimation; autoregressive moving-average; parameter estimation; recursive linear identification method; spectral analysis; Computational modeling; Parameter estimation; Polynomials; Random processes; Recursive estimation; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Southeastcon '92, Proceedings., IEEE
Conference_Location
Birmingham, AL
Print_ISBN
0-7803-0494-2
Type
conf
DOI
10.1109/SECON.1992.202282
Filename
202282
Link To Document