Title :
Normalized ARAM Levinson algorithm
Author :
Kwan, Hon Keung ; Lui, Ying Chun
Author_Institution :
Dept. of Electr. Eng., Windsor Univ., Ont., Canada
Abstract :
A Levinson-type algorithm is proposed for estimating the one-dimensional autoregressive moving average (ARMA) model from the observed inputs and outputs of an unknown system. The algorithm is capable of computing models of any AR order and MA order with arbitrary arrangement of order-update recursions. When the input is a white process, the algorithm yields a lattice model that is canonic with respect to the number of parameters. Numerical examples are included to verify the formulation
Keywords :
identification; signal processing; statistical analysis; time series; 1D ARMA model; AR order; ARAM Levinson algorithm; MA order; autoregressive moving average; lattice model; normalised algorithm; order-update recursions; signal processing; white process input; Computer architecture; Error correction; Lattices; Polynomials; Solid modeling; Very large scale integration;
Conference_Titel :
Circuits and Systems, 1989., IEEE International Symposium on
Conference_Location :
Portland, OR
DOI :
10.1109/ISCAS.1989.100334
