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
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