Title :
A simple set of linear equations for computing autocorrelations of ARMA(p,q) signals with given model parameters
Author :
Husoy, John Håkon
Author_Institution :
Dept. of Electr. Eng. & Comput. Sci., Univ. of Stavanger, Stavanger, Norway
Abstract :
A new formulation facilitating the determination of the autocorrelation lags, and consequently the autocorrelation matrix, of an autoregressive moving average signal of arbitrary order (ARMA(p, q)) is presented. The main features of our formulation, stated as a set of linear equations to be solved, are 1) its conceptual simplicity 2) its reliance only on primary parameters of the ARMA(p, q) model, and 3) the simplicity of the resulting linear equations.
Keywords :
autoregressive moving average processes; correlation methods; ARMA signals; autocorrelation lags; autocorrelation matrix; autoregressive moving average signal; linear equations; Autocorrelation; Autoregressive processes; Equations; Mathematical model; Polynomials; Programming profession; Signal processing; Signal processing algorithms; Time series analysis; Vectors;
Conference_Titel :
Information, Communications and Signal Processing, 2009. ICICS 2009. 7th International Conference on
Conference_Location :
Macau
Print_ISBN :
978-1-4244-4656-8
Electronic_ISBN :
978-1-4244-4657-5
DOI :
10.1109/ICICS.2009.5397544
