A Sliding Memory Covariance Circular Lattice Filter and Its Application to ARMA Modeling

슬라이딩 메모리 공분산형 환상 격자 필터 및 ARMA모델링에의 응용

A sliding memory covariance circular lattice (SMC-CL) filter and an efficient ARMA modeling method using the SMC-CL filter are presented. At first, SMC-CL filter is derived based on the geometric approach. Then ARMA process is converted into 2 channel AR process, and SMC-CL filter is applied to it. The structure of SMC-CL filter becomes simpler in case of ARMA modeling due to the whiteness of a driving input process. The parameters of ARMR process can be obtained by the Levinson recursions from the PARCOR coefficients of the second channel of the filter. Computer simulations are performed to show the effctiveness of the proposed algorithm.