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ARMA model parameter estimation based on the equivalent MA approach

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dc.contributor.author Kızılkaya, Aydın
dc.contributor.author Kayran, Ahmet Hamdi
dc.date.accessioned 2019-08-16T11:36:26Z
dc.date.available 2019-08-16T11:36:26Z
dc.date.issued 2006
dc.identifier.issn 1051-2004
dc.identifier.uri https://hdl.handle.net/11499/4702
dc.identifier.uri https://doi.org/10.1016/j.dsp.2006.08.010
dc.description.abstract The paper investigates the relation between the parameters of an autoregressive moving average (ARMA) model and its equivalent moving average (EMA) model. On the basis of this relation, a new method is proposed for determining the ARMA model parameters from the coefficients of a finite-order EMA model. This method is a three-step approach: in the first step, a simple recursion relating the EMA model parameters and the cepstral coefficients of an ARMA process is derived to estimate the EMA model parameters; in the second step, the AR parameters are estimated by solving the linear equation set composed of EMA parameters; then, the MA parameters are obtained via simple computations using the estimated EMA and AR parameters. Simulations including both low- and high-order ARMA processes are given to demonstrate the performance of the new method. The end results are compared with the existing method in the literature over some performance criteria. It is observed from the simulations that our new algorithm produces the satisfactory and acceptable results. © 2006 Elsevier Inc. All rights reserved. en_US
dc.language.iso en en_US
dc.publisher Elsevier Inc. en_US
dc.relation.ispartof Digital Signal Processing: A Review Journal en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.subject ARMA model parameter estimation en_US
dc.subject Equivalent MA model en_US
dc.subject Equivalent model approach en_US
dc.subject MA-cepstrum recursion en_US
dc.subject Spectral estimation en_US
dc.subject Computer simulation en_US
dc.subject Mathematical models en_US
dc.subject Parameter estimation en_US
dc.subject Spectrum analysis en_US
dc.subject Autoregressive moving average (ARMA) models en_US
dc.subject Cepstrum recursion en_US
dc.subject Equivalent moving average (EMA) models en_US
dc.subject Signal filtering and prediction en_US
dc.title ARMA model parameter estimation based on the equivalent MA approach en_US
dc.type Article en_US
dc.identifier.volume 16 en_US
dc.identifier.issue 6 en_US
dc.identifier.startpage 670
dc.identifier.startpage 670 en_US
dc.identifier.endpage 681 en_US
dc.authorid 0000-0001-8361-9738
dc.identifier.doi 10.1016/j.dsp.2006.08.010
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.identifier.scopus 2-s2.0-33751175843 en_US
dc.identifier.wos WOS:000243346900003 en_US

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