Title :
Instrumental variable methods for ARMA spectral estimation
Author :
Friedlander, Benjamin
Author_Institution :
Systems Control Technology, Inc., Palo Alto, CA.
Abstract :
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. An efficient lattice algorithm is presented for solving the modified Yule-Walker equations in the overdetermined case.
Keywords :
Control systems; Difference equations; Instruments; Lattices; Maximum likelihood estimation; Milling machines; Parameter estimation; Recursive estimation; System identification; White noise;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '82.
DOI :
10.1109/ICASSP.1982.1171731
