잡음 ARMA 프로세스의 적응 매개변수추정

Adaptive Parameter Estimation for Noisy ARMA Process

This Paper presents a general algorithm for the parameter estimation of an antoregressive moving average process observed in additive white noise. The algorithm is based on the Gauss-Newton recursive prediction error method. For the parameter estimation, the output measurement is modelled as an innovation process using the spectral factorization, so that noise free RPE ARMA estimation can be used. Using apriori known properties leads to algorithm with smaller computation and better accuracy be the parsimony principle. Computer simulation examples show the effectiveness of the proposed algorithm.