Generalized Least Squares Iterative Inverse Filtering Parameter Estimation for ARMA Pulse Response and Output Disturbance

The parameters of an ARMA system and of additive ARMA output disturbance with mutually different poles were estimated from a record of the disturbed output on a single pulse input Alternating the steps of iterative inverse filtering with iterations according to generalized least squares appeared very economical for such systems. This procedure converged for second order simulations Statistics of the estimates were evaluated from these simulation results for two signal-to-noise ratios Real-world systems also converged with slightly more iterations.