Mk. Hasan et al., AN APPROACH TO ARMA MODEL IDENTIFICATION FROM NOISE-CORRUPTED OUTPUT MEASUREMENTS, IEICE transactions on fundamentals of electronics, communications and computer science, E77A(4), 1994, pp. 726-730
Citations number
NO
Categorie Soggetti
Engineering, Eletrical & Electronic","Computer Science Hardware & Architecture","Computer Science Information Systems
This letter extends the Yule-Walker method to the estimation of ARMA p
arameters from output measurements corrupted by noise. In the proposed
method it is assumed that the noise variance and the input are unknow
n. An algorithm for the estimation of noise variance is, therefore, gi
ven. 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 solve a set
of nonlinear equations for MA parameter estimation as required in the
conventional correlation based methods.