A Fast Algorithm for Vector ARMA Parameter Estimation

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.

• Periodical: Advanced Materials Research (Volumes 433-440)
• Pages: 4475-4481
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.433-440.4475
• Online since: January 2012
• Authors: Zhi Qing Chen, You Shen Xia
• Keywords: Lorenz System, Parameters Estimate, Vector ARMA Model

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