Performance analysis of estimation algorithms of nonstationary ARMA processes

IEEE Transactions on Signal Processing

Volumn 54, Issue 3, 2006, Pages 1041-1053

  Ding, Feng ^a   Shi, Yang ^b   Chen, Tongwen ^c  

^a JIANGNAN UNIVERSITY   (China)

^b UNIVERSITY OF SASKATCHEWAN   (Canada)

^c UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Autogressive moving average (ARMA) models; Autoregressive (AR) models; Convergence properties; Gradient search; Least squares filtering; Martingale convergence theorem; Moving average (MA) models; Parameter estimation; Recursive identification

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; CORRELATION METHODS; MATRIX ALGEBRA; PARAMETER ESTIMATION; SIGNAL FILTERING AND PREDICTION; SPURIOUS SIGNAL NOISE; VECTORS;

AUTOREGRESSIVE (AR) MODELS; AUTOREGRESSIVE MOVING AVERAGE (ARMA) MODELS; CONVERGENCE PROPERTIES; GRADIENT SEARCH; LEAST SQUARES FILTERING; MARTINGALE CONVERGENCE THEOREM; MOVING AVERAGE (MA) MODELS; RECURSIVE IDENTIFICATION;

SIGNAL PROCESSING;

EID: 33244491904     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2005.862845     Document Type: Article

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