IEICE TRANSACTIONS on Fundamentals
An Approach to ARMA Model Identification from Noise Corrupted Output Measurements
Summary :
This letter extends the Yule-Walker method to the estimation of ARMA parameters from output measurements corrupted by noise. In the proposed method it is assumed that the noise variance and the input are unknown. An algorithm for the estimation of noise variance is, therefore, given. The use of the variance estimation method proposed here together with the Yule-Walker equations allow the estimation of the parameters of a minimum phase ARMA model based only on noisy measurements of its output. Moreover, using this method it is not necessary to slove a set of nonlinear equations for MA parameter estimation as required in the conventional correlation based methods.
- Publication
- IEICE TRANSACTIONS on Fundamentals Vol.E77-A No.4 pp.726-730
- Publication Date
- 1994/04/25
- Publicized
- Online ISSN
- DOI
- Type of Manuscript
- LETTER
- Category
- Digital Signal Processing
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Md.Kamrul HASAN, Takashi YAHAGI, Marco A.Amaral HENRIQUES, "An Approach to ARMA Model Identification from Noise Corrupted Output Measurements" in IEICE TRANSACTIONS on Fundamentals,
vol. E77-A, no. 4, pp. 726-730, April 1994, doi: .
Abstract: This letter extends the Yule-Walker method to the estimation of ARMA parameters from output measurements corrupted by noise. In the proposed method it is assumed that the noise variance and the input are unknown. An algorithm for the estimation of noise variance is, therefore, given. The use of the variance estimation method proposed here together with the Yule-Walker equations allow the estimation of the parameters of a minimum phase ARMA model based only on noisy measurements of its output. Moreover, using this method it is not necessary to slove a set of nonlinear equations for MA parameter estimation as required in the conventional correlation based methods.
URL: https://global.ieice.org/en_transactions/fundamentals/10.1587/e77-a_4_726/_p
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@ARTICLE{e77-a_4_726,
author={Md.Kamrul HASAN, Takashi YAHAGI, Marco A.Amaral HENRIQUES, },
journal={IEICE TRANSACTIONS on Fundamentals},
title={An Approach to ARMA Model Identification from Noise Corrupted Output Measurements},
year={1994},
volume={E77-A},
number={4},
pages={726-730},
abstract={This letter extends the Yule-Walker method to the estimation of ARMA parameters from output measurements corrupted by noise. In the proposed method it is assumed that the noise variance and the input are unknown. An algorithm for the estimation of noise variance is, therefore, given. The use of the variance estimation method proposed here together with the Yule-Walker equations allow the estimation of the parameters of a minimum phase ARMA model based only on noisy measurements of its output. Moreover, using this method it is not necessary to slove a set of nonlinear equations for MA parameter estimation as required in the conventional correlation based methods.},
keywords={},
doi={},
ISSN={},
month={April},}
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TY - JOUR
TI - An Approach to ARMA Model Identification from Noise Corrupted Output Measurements
T2 - IEICE TRANSACTIONS on Fundamentals
SP - 726
EP - 730
AU - Md.Kamrul HASAN
AU - Takashi YAHAGI
AU - Marco A.Amaral HENRIQUES
PY - 1994
DO -
JO - IEICE TRANSACTIONS on Fundamentals
SN -
VL - E77-A
IS - 4
JA - IEICE TRANSACTIONS on Fundamentals
Y1 - April 1994
AB - This letter extends the Yule-Walker method to the estimation of ARMA parameters from output measurements corrupted by noise. In the proposed method it is assumed that the noise variance and the input are unknown. An algorithm for the estimation of noise variance is, therefore, given. The use of the variance estimation method proposed here together with the Yule-Walker equations allow the estimation of the parameters of a minimum phase ARMA model based only on noisy measurements of its output. Moreover, using this method it is not necessary to slove a set of nonlinear equations for MA parameter estimation as required in the conventional correlation based methods.
ER -
English
