IEEE - Institute of Electrical and Electronics Engineers, Inc. - Application of the lattice filter to robust estimation of AR and ARMA models

Author(s): S. Li ; B.W. Dickinson
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 April 1988
Volume: 36
Page Count: 11
Page(s): 502 - 512
ISSN (Paper): 0096-3518
DOI: 10.1109/29.1554
Regular:

A method for estimating the parameters of an autoregressive moving-average (ARMA) model is proposed. A (p+q)-stage lattice whitening filter is used to obtained consistent estimates of the AR... View More

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