Title :
Tracking analysis of an ARMA parameter estimation algorithm using weak convergence theory
Author :
Rao, Bhaskar D. ; Peng, Rong
Author_Institution :
Univ. of California, San Diego, La Jolla, Ca
Abstract :
In this paper we study the problem of adaptively estimating the Autoregressive Moving Average (ARMA) parameters of a time varying ARMA process using a constant step size Gauss-Newton Algorithm. Using weak convergence theory and the concept of prescaling, it is shown that the "mean" behavior can be described by an ordinary differential equation (ODE). Computer simulations are provided to substantiate the analysis.
Keywords :
Adaptive filters; Algorithm design and analysis; Convergence; Finite impulse response filter; IIR filters; Least squares methods; Newton method; Parameter estimation; Recursive estimation; Signal processing algorithms;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.
DOI :
10.1109/ICASSP.1987.1169596
