An Adaptive ARMA Spectral Estimator. Part 2.
VIRGINIA POLYTECHNIC INST AND STATE UNIV BLACKSBURG DEPT OF ELECTRICAL ENGINEERING
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This paper presents a recursive algorithmic implementation of the prewindowed high performance method of ARMA spectral modeling as described in Part 1. This algorithm provides updates of the ARMA models optimal autoregressive coefficients in actuality prediction errors as each new data point becomes available. The algorithm is computationally fast in the sense that it requires Op multiplications and additions for each update. It is shown that this fast recursive algorithm may be implemented using a lattice filter arrangement, and it therefore exhibits several of the nice properties associated with lattice type algorithms such as numerical robustness and good convergence properties. Author
- Statistics and Probability