Unbiased Estimation of Symmetric Noncausal ARMA Parameters Using Lattice Filter
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概要
- 論文の詳細を見る
An unbiased estimation method for symmetric noncausal ARMA model parameters is presented. The proposed algorithm works in two steps: first, a spectrally equivalent causal system is identified by lattice whitening filter and then the equivalent noncausal system is reconstructed. For AR system with noise or ARMA system without noise, the proposed method does not need any iteration method nor any optimization procedure. An estimation method of noise variance when the observation is made in noisy situation is discussed. The potential capabilities of the algorithm are demonstrated by using some numerical examples.
- 社団法人電子情報通信学会の論文
- 1999-03-25
著者
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Mollah Md.
Graduate School Of Science And Technology Chiba University
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Yahagi Takashi
Graduate School Of Science And Technology Chiba University
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Yahagi Takashi
Graduate School Of Advanced Integration Science Chiba University
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