Instrumental variable methods for ARMA spectral estimation

The modified Yule-Walker technique of ARMA spectral estimation is shown to be a special case of the instrumental variable method of system identification. Several recursive instrumental variable algorithms are proposed for adaptive spectral estimation, including a new algorithm for the overdetermined case. An efficient lattice algorithm is presented for solving the modified Yule-Walker equations, given the sample correlation coefficients. The performance of some of the algorithms is illustrated by simulation results.