Title :
An improved method for uniform simulation of stable minimum phase real ARMA (p,q) processes
Author :
Andrieu, Christophe ; Doucet, Arnaud
Author_Institution :
Dept. of Eng., Cambridge Univ., UK
fDate :
6/1/1999 12:00:00 AM
Abstract :
An improvement over the Beadle-Djuric (see ibid., vol.4, p.259-61, 1997) method to simulate the parameters of stable invertible autoregressive moving average (ARMA) (p,q) processes is presented. It is computationally efficient and is especially suitable for simulation of high-order models.
Keywords :
autoregressive moving average processes; digital simulation; signal sampling; stability; computationally efficient method; high-order models; sampling method; stable minimum phase real ARMA processes; statistical signal processing; uniform simulation; Autoregressive processes; Computational modeling; Polynomials; Proposals; Sampling methods; Signal generators; Signal processing; Signal processing algorithms; Stability;
Journal_Title :
Signal Processing Letters, IEEE
