DocumentCode :
1106894
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
Volume :
33
Issue :
5
fYear :
1985
fDate :
10/1/1985 12:00:00 AM
Firstpage :
1188
Lastpage :
1196
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;
fLanguage :
English
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
0096-3518
Type :
jour
DOI :
10.1109/TASSP.1985.1164683
Filename :
1164683
Link To Document :
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