Title :
New relationships between ARMA and AR processes
Author :
Haimi-Cohen, R. ; Cohen, A.
Author_Institution :
Tadiran Inc., Petah Tikva, Israel
Abstract :
It is shown that the autoregressive part of an ARMA(p,q) model can be represented as a linear combination of q higher order AR models, and that the coefficients of this linear combination form an approximation to the moving average part. These results are used to develop efficient algorithms for ARMA model estimation.
Keywords :
Approximation algorithms; Autocorrelation; Equations; Estimation error; Linear systems; Nonlinear systems; Robustness; Stability;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '86.
DOI :
10.1109/ICASSP.1986.1168677
