Title :
ARMA parameter estimation: Revisiting a cepstrum-based method
Author :
Hernández, Miguel A Lagunas ; Stoica, Petre ; Rojas, Miguel A.
Author_Institution :
Centre Tecnol. de Telecomunicacions de Catalunya, Barcelona
fDate :
March 31 2008-April 4 2008
Abstract :
An interesting but apparently forgotten auto-regressive moving-average (ARMA) parameter estimation method, introduced by one of us in 1984, and refined later on by others, is revisited. In the process, we provide a new simpler derivation of the method as well as an enhanced version of its cepstrum-based step. We argue that this method has an appealing advantage over Durbin´s method, which is probably the most frequently used non-iterative method for ARMA parameter estimation.
Keywords :
autoregressive moving average processes; parameter estimation; Durbin method; autoregressive moving-average; cepstrum-based method; noniterative method; parameter estimation; Cepstrum; Econometrics; Equations; Information technology; Logic; Parameter estimation; Polynomials; Signal processing; Statistical analysis; Telecommunications; ARMA; Durbin; LAST; cepstrum;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2008. ICASSP 2008. IEEE International Conference on
Conference_Location :
Las Vegas, NV
Print_ISBN :
978-1-4244-1483-3
Electronic_ISBN :
1520-6149
DOI :
10.1109/ICASSP.2008.4518452
