Title :
A new recursive pseudo least squares algorithm for ARMA filtering and modeling. II
Author :
Prasad, Surendra ; Joshi, Shiv Dutt
Author_Institution :
Dept. of Electr. Eng., Indian Inst. of Technol., New Delhi, India
fDate :
11/1/1992 12:00:00 AM
Abstract :
For pt.I see ibid., vol.40, no.11, p.2766-74 (Nov. 1992). A recursive algorithm for ARMA (autoregressive moving average) filtering has been developed in a companion paper. These recursions are seen to have a lattice-like filter structure. The ARMA parameters, however, are not directly available from the coefficients of this filter. The problem of identification of the ARMA model from the coefficients of this filter is addressed here. Two new update relations for certain pseudoinverses are derived and used to obtain a recursive least squares algorithm for AR parameter estimation. Two methods for the estimation of the MA parameters are also presented. Numerical results demonstrate the usefulness of the proposed algorithms
Keywords :
filtering and prediction theory; least squares approximations; parameter estimation; signal processing; ARMA filtering; ARMA modeling; autoregressive moving average; identification; lattice-like filter structure; parameter estimation; recursive pseudo least squares algorithm; Adaptive filters; Filtering algorithms; Least squares approximation; Least squares methods; Parameter estimation; Recursive estimation; Signal processing algorithms; Technological innovation;
Journal_Title :
Signal Processing, IEEE Transactions on
