ARMA parameter estimation using a novel recursive estimation algorithm with selective updating

Ashok K Rao; YIH-FANG HUANG; SOURA DASGUPTA

doi:10.1109/29.106863

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Journal article

ARMA parameter estimation using a novel recursive estimation algorithm with selective updating

Ashok K Rao, YIH-FANG HUANG and SOURA DASGUPTA

IEEE transactions on acoustics, speech, and signal processing, Vol.38(3), pp.447-457

1990

DOI: 10.1109/29.106863

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Abstract

The authors investigate an extension of a recursive estimation algorithm (the so-called optimal bounding ellipsoid or OBE algorithm) which features a discerning update strategy. In particular, an extension of the algorithm to ARMA (autoregressive moving-average) parameter estimation is presented along with a convergence analysis. The extension is similar to the extended least-squares (ELS) algorithm. However, the convergence analysis is complicated due to the discerning update strategy, which incorporates an information-dependent updating factor. The virtues of such an update strategy are more efficient use of the input data in terms of information processing and a modular adaptive filter structure which would facilitate the development of a parallel-pipelined signal processing architecture. It is shown that if the input noise is bounded and the moving-average parameters satisfy a certain magnitude bound, then the a posteriori prediction errors are uniformly bounded. With an additional persistence-of-excitation condition, the parameter estimates are shown to converge to a neighborhood of the true parameters, and the a priori prediction errors are shown to be asymptotically bounded. Simulation results show that the parameter estimation error for the EOBE algorithm is comparable to that for the ELS algorithm.

Applied Sciences

Signal and communications theory

Telecommunications and information theory

Exact sciences and technology

Signal, noise

Information, signal and communications theory

Detection, estimation, filtering, equalization, prediction

Details

Title: Subtitle: ARMA parameter estimation using a novel recursive estimation algorithm with selective updating
Creators: Ashok K Rao - COMSAT Laboratories, Clarksburg IN 46556, United States
YIH-FANG HUANG - COMSAT Laboratories, Clarksburg IN 46556, United States
SOURA DASGUPTA - COMSAT Laboratories, Clarksburg IN 46556, United States
Resource Type: Journal article
Publication Details: IEEE transactions on acoustics, speech, and signal processing, Vol.38(3), pp.447-457
Publisher: Institute of electrical and electronics engineers
DOI: 10.1109/29.106863
ISSN: 0096-3518
Language: English
Date published: 1990
Academic Unit: Electrical and Computer Engineering
Record Identifier: 9984083814802771

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