Title :
Efficient algorithm for determination of a.r. part of a.r.m.a. model
Author :
Carayannis, George ; Kalouptsidis, Nicholas ; Manolakis, Dimitris
Author_Institution :
National Technical University of Athens, Department of Electrical Engineering, Athens, Greece
Abstract :
A fast recursive scheme is given for the solution of the Yule-Walker equations to obtain the a.r. part of an a.r.m.a. model. A lattice equivalent to the predictive filter is also included. This new structure requires what is subsequently called an adjoint model. The algorithm can be used in the evaluation of the a.r. and m.a. parsimonious orders.
Keywords :
filtering and prediction theory; signal processing; autoregressive moving average; lattice equivalent; predictive filter; recursive algorithm;
Journal_Title :
Electronics Letters
DOI :
10.1049/el:19800465
