Title :
ARMA Spectral Estimation via Model Reduction
Author :
Wahlberg, Bo ; Ottersten, Björn
Author_Institution :
Division of Automatic Control, Dept of Electrical Engineering, Linköping University, S-581 83 Linköping, Sweden
Abstract :
In this paper we study how to estimate autoregressive moving average (ARMA) processes via a high order autoregressive (AR) estimate and model reduction. The model reduction techniques considered are based on the L2-norm. internally balanced realizations, or the Hankelnorm. We apply this estimation technique to the problem of finding narrow-band signals in white noise.
Keywords :
Automatic control; Closed-form solution; Iterative methods; Least squares approximation; Maximum likelihood estimation; Narrowband; Optimization methods; Reduced order systems; System identification; White noise;
Conference_Titel :
American Control Conference, 1986
Conference_Location :
Seattle, WA, USA
