Spectral estimation of ARMA processes using ARMA-cepstrum recursion


Kaderli A., Kayhan A.

IEEE SIGNAL PROCESSING LETTERS, vol.7, no.9, pp.259-261, 2000 (Journal Indexed in SCI) identifier

  • Publication Type: Article / Article
  • Volume: 7 Issue: 9
  • Publication Date: 2000
  • Doi Number: 10.1109/97.863151
  • Title of Journal : IEEE SIGNAL PROCESSING LETTERS
  • Page Numbers: pp.259-261

Abstract

In this letter, the spectral estimation problem of a stationary autoregressive moving average (ARMA) process is considered, and a new method for the estimation of the MA part is proposed. A simple recursion relating the ARMA parameters and the cepstral coefficients of an ARMA process is derived and utilized for the estimation of the MA parameters. The method requires neither any initial estimates nor fitting of a large order AR model, both of which require further a priori knowledge of the signal and increase the computational complexity, Simulation results illustrating the performance of the new method are also given.