AN EFFICIENT AND VERSATILE ALGORITHM FOR COMPUTING THE COVARIANCE FUNCTION OF AN ARMA PROCESS

Computation of an ARMA covariance function is a common ingredient in a nalysis and synthesis of various problems in stochastic control, estim ation, and signal processing, Several approaches can be used for this purpose. In this paper, we present an algorithm based on simple polyno mial calculations. Compared with alternative strategies, it has small computational load, shows good numerical robustness, and can be extend ed to handle multivariable ARMA processes, even with complex-valued co efficients.