A recursive procedure for ARMA modeling

DOI10.1109/TASSP.1985.1164683MaRDI QIDQ3030072zbMATH OpenOpenAlexFDO

Authors Randolph L. Moses, James A. Cadzow, A. A. Beex

Publication date 1985

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tassp.1985.1164683

zbMATH Keywords

ARMA modelingARMA spectral estimationexact recursive lattice algorithmexponential forgetting factorextended Yule-Walker equationstime seriestwo-part fast recursive algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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