Modified Instrumental Variable Methods for ARMA Spectral Estimation

ARMA 스펙트럼 추정을 위한 변형기구 변수법에 관한 연구

The signal can be modeled as a linear combination of its past values and present and past values of a hypothetical input to system whose output is given signal. Using this model spectral estimation problem can be reduced to estimate the ARMA parameters. This paper presents recursive modified instrumental variable algorithm which can estimate AR and MA parameters. For more accurate estimation, overdetermined modified IV algorithm is also derived. Computer simulations are presented to illustrate the above methods.