Title :
Sequential algorithm for identification of parameters of an autoregressive process
Author :
Srinath, M.D. ; Viswanathan, M.M.
Author_Institution :
Southern Methodist University, Dallas, TX, USA
fDate :
8/1/1975 12:00:00 AM
Abstract :
An algorithm for the sequential identification of the parameters of a stationary process described by an autoregressive (AR) model is presented. A set of parameters obtained by a transformation of the AR model is introduced which leads to certain computational advantages. An example is presented to illustrate the use of the algorithms.
Keywords :
Autoregressive processes; Linear systems, stochastic discrete-time; Parameter identification; Sequential estimation; Autoregressive processes; Difference equations; Kernel; Lattices; Least squares methods; Leg; Polynomials; Stochastic processes; Transfer functions; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1975.1101017
