A recursive procedure for ARMA modeling

DOI10.1109/TASSP.1985.1164683zbMath0626.62092OpenAlexW2169369265MaRDI QIDQ3030072

Randolph L. Moses, James A. Cadzow, A. A. (Louis) 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

exponential forgetting factortime seriesARMA modelingARMA spectral estimationexact recursive lattice algorithmextended Yule-Walker equationstwo-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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