DocumentCode :
852158
Title :
An efficient method to compute consistent estimates of the AR parameters of an ARMA model
Author :
Li, Shiping ; Dickinson, Bradley W.
Author_Institution :
Princeton University, Princeton, NJ, USA
Volume :
31
Issue :
3
fYear :
1986
fDate :
3/1/1986 12:00:00 AM
Firstpage :
275
Lastpage :
278
Abstract :
A computationally efficient method for consistent estimation of the AR parameters of an ARMA model is obtained, based on an iterated least-squares approach proposed by Tsay and Tiao. The method is derived from the lattice filter structure which generates an orthogonal basis for the Hilbert space of interest. It is shown that for the ARMA ( 
) model, we can get consistent estimates of the AR parameters by using a least-squares lattice estimation algorithm and solving a system of q linear equations.
) model, we can get consistent estimates of the AR parameters by using a least-squares lattice estimation algorithm and solving a system of q linear equations.Keywords :
Autoregressive moving-average processes; Autoregressive processes; Equations; Filters; Iterative algorithms; Lattices; Parameter estimation; Scholarships; Signal processing algorithms; Statistics; White noise;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1986.1104254
Filename :
1104254
Link To Document :
