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Abstract:
In this paper, a fast algorithm for vector autoregressivemoving-average (ARMA) parameter estimation under noise environments is proposed. Based on an equivalent AR parameter model technique and a Yule-Walker equation technique, solving the parameter estimation problem of the VARMA model is well converted into solving linear equations. Therefore, the proposed algorithm has a lower computational complexity and a faster speed than conventional algorithms. Application examples with application to Lorenz systems confirm that the proposed algorithm can obtain a good solution.
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MATERIALS SCIENCE AND INFORMATION TECHNOLOGY, PTS 1-8
ISSN: 1022-6680
Year: 2012
Volume: 433-440
Page: 4475-4481
Language: English
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ESI Highly Cited Papers on the List: 0 Unfold All
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30 Days PV: 0
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