A NEW ALGORITHM FOR RECURSIVE ESTIMATION OF ARMA PARAMETERS IN REACTOR NOISE-ANALYSIS

In this paper a new recursive algorithm for estimating the parameters of the ARMA model from measured data is presented. The Yule-Walker equations for the case of the ARMA model are derived from the ARMA equation with innovation. The recursive algorithm is based on choosing appropriate form of the operator functions and suitable representation of the (n + 1)-th order operator functions according to ones with lower order. Two cases, when the order of the AR part is equal to that of the MA part and the general case, were considered.