A Fast Algorithm for Vector ARMA Parameter Estimation

被引：0
|
作者：
Chen, Zhiqing [1 ]
Xia, Youshen [1 ]
机构：
[1] Fuzhou Univ, Coll Math & Comp Sci, Fuzhou 350002, Peoples R China
来源：
MATERIALS SCIENCE AND INFORMATION TECHNOLOGY, PTS 1-8 | 2012年 / 433-440卷
关键词：
Vector ARMA model; Parameters estimate; Lorenz System;
D O I：
10.4028/www.scientific.net/AMR.433-440.4475
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In this paper, a fast algorithm for vector autoregressivemoving-average (ARMA) parameter estimation under noise environments is proposed. Based on an equivalent AR parameter model technique and a Yule-Walker equation technique, solving the parameter estimation problem of the VARMA model is well converted into solving linear equations. Therefore, the proposed algorithm has a lower computational complexity and a faster speed than conventional algorithms. Application examples with application to Lorenz systems confirm that the proposed algorithm can obtain a good solution.
引用
收藏
页码：4475 / 4481
页数：7
相关论文
共 50 条
  • [1] TRACKING ANALYSIS OF AN ARMA PARAMETER-ESTIMATION ALGORITHM
    RAO, BD
    PENG, R
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1990, 35 (02) : 247 - 250
  • [2] Analysis and application of a novel fast algorithm for 2-D ARMA model parameter estimation
    Xia, Youshen
    Deng, Zhipo
    Zheng, Wei Xing
    [J]. AUTOMATICA, 2013, 49 (10) : 3056 - 3064
  • [3] An algorithm for ARMA model parameter estimation from noisy observations
    Fattah, S. A.
    Zhu, W. -P.
    Ahmad, M. O.
    [J]. PROCEEDINGS OF 2008 IEEE INTERNATIONAL SYMPOSIUM ON CIRCUITS AND SYSTEMS, VOLS 1-10, 2008, : 3202 - 3205
  • [4] A Fast Algorithm for 2-D ARMA Parameters Estimation
    Deng, Zhipo
    Xia, Youshen
    [J]. ADVANCES IN NEURAL NETWORKS - ISNN 2009, PT 1, PROCEEDINGS, 2009, 5551 : 877 - 886
  • [5] Whittle parameter estimation for vector ARMA models with heavy-tailed noises
    She, Rui
    Mi, Zichuan
    Ling, Shiqing
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2022, 219 : 216 - 230
  • [6] ARMA PARAMETER-ESTIMATION USING A NOVEL RECURSIVE ESTIMATION ALGORITHM WITH SELECTIVE UPDATING
    RAO, AK
    HUANG, YF
    DASGUPTA, S
    [J]. IEEE TRANSACTIONS ON ACOUSTICS SPEECH AND SIGNAL PROCESSING, 1990, 38 (03): : 447 - 457
  • [7] Extending the Least Squares Vector ARMA Electromechanical Mode Estimation Algorithm
    Dosiek, Luke
    [J]. 2018 IEEE POWER & ENERGY SOCIETY GENERAL MEETING (PESGM), 2018,
  • [8] FAST GLS ALGORITHM FOR PARAMETER-ESTIMATION
    AHMED, MS
    [J]. AUTOMATICA, 1984, 20 (02) : 231 - 236
  • [9] A Parameter and Time Delays Estimation Algorithm for MISO FIR-ARMA Systems
    Tao, Taiyang
    Tian, Fei
    [J]. PROCEEDINGS OF THE 32ND 2020 CHINESE CONTROL AND DECISION CONFERENCE (CCDC 2020), 2020, : 1010 - 1014
  • [10] ARMA PARAMETER-ESTIMATION OF SPEECH
    WYGONSKI, JJ
    SOHIE, G
    [J]. JOURNAL OF THE ACOUSTICAL SOCIETY OF AMERICA, 1987, 81 : S78 - S78
12345