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[会议论文]

A Fast Algorithm for Vector ARMA Parameter Estimation

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author:

Chen, Zhiqing (Chen, Zhiqing.) [1] | Xia, Youshen (Xia, Youshen.) [2] (Scholars:夏又生)

Indexed by:

CPCI-S EI Scopus

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.

Keyword:

Lorenz System Parameters estimate Vector ARMA model

Community:

  • [ 1 ] [Chen, Zhiqing]Fuzhou Univ, Coll Math & Comp Sci, Fuzhou 350002, Peoples R China
  • [ 2 ] [Xia, Youshen]Fuzhou Univ, Coll Math & Comp Sci, Fuzhou 350002, Peoples R China

Reprint 's Address:

  • 陈志庆

    [Chen, Zhiqing]Fuzhou Univ, Coll Math & Comp Sci, Fuzhou 350002, Peoples R China

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Source :

MATERIALS SCIENCE AND INFORMATION TECHNOLOGY, PTS 1-8

ISSN: 1022-6680

Year: 2012

Volume: 433-440

Page: 4475-4481

Language: English

Cited Count:

WoS CC Cited Count:

30 Days PV: 2

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