Title :
A recursive procedure for ARMA modeling
Author :
Moses, Randolph L. ; Cadzow, James A. ; Beex, A.A.
Author_Institution :
Virginia Polytechnic Institute and State University, Blacksburg, VA, USA
fDate :
10/1/1985 12:00:00 AM
Abstract :
This paper presents a two-part fast recursive algorithm for ARMA modeling. The algorithm first obtains estimates of the p autoregressive coefficients from a set of p extended Yule-Walker equations. An exact recursive lattice algorithm for this estimator is then derived. The q + 1 numerator spectrum coefficients are then obtained by using one of the output data sequences of this lattice algorithm. The complete recursive algorithm is fast in the sense that O(p + q) computations are required for each update. Moreover, an exponential forgetting factor is incorporated to facilitate tracking of time variations in the time series.
Keywords :
Autocorrelation; Autoregressive processes; Density functional theory; Equations; Lattices; Radar signal processing; Radar tracking; Recursive estimation; Signal processing algorithms; White noise;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
DOI :
10.1109/TASSP.1985.1164683