Title :
A method to estimate the parameters of an ARMA model
Author :
Alengrin, Gerard ; Zerubia, Josiane
Author_Institution :
University of Southern California, Los Angeles, CA, USA
fDate :
12/1/1987 12:00:00 AM
Abstract :
A method of estimating the parameters of an ARMA model is proposed. In the transient case, we show that the formulas recently given by Li and Dickinson [7] for the AR parameters are easily obtained by considering the formulation of the one-step predictor. In the steady-state case, we can get separately the AR parameters and the MA ones.
Keywords :
Autoregressive moving-average processes; Transient analysis; Aerodynamics; Algorithms; Condition monitoring; Covariance matrix; Filtering; Mathematics; Nonlinear equations; Nonlinear filters; Parameter estimation; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104521
