Application of the lattice filter to robust estimation of AR and ARMA models

DOI10.1109/29.1554zbMATH Open0652.93054OpenAlexW2124735774MaRDI QIDQ3798565FDOQ3798565

Authors: Shiping Li, Bradley W. Dickinson 

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1109/29.1554

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zbMATH Keywords

ARMA modelrobust estimateslattice filterAR parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited In (5)

• Einstellregeln für kontinuierliche und Abtast-Regler nach der Methode der Betragsanpassung
• Estimation of multivariate signal by output autocovariance data in linear discrete-time systems
• An efficient method to compute consistent estimates of the AR parameters of an ARMA model
• A new adaptive lattice filter for the ARMA modeling of vector signals
• A normalized lattice algorithm for AR spectral analysis and system identification filters with symmetric impulse response

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