论文信息 - Identification of autoregressive moving-average parameters of time series

Identification of autoregressive moving-average parameters of time series

A procedure for sequentially estimating the parameters and orders of mixed autoregressive moving-average signal models from time-series data is presented. Identification is performed by first identifying a purely autoregressive signal model. The parameters and orders of the mixed autoregressive moving-average process are then given from the solution of simple algebraic equations involving the purely autoregressive model parameters.

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