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An iterative procedure for moving average models estimation

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2 Author(s)
Le Roux, J. ; ENST, Paris Cedex, France ; Grenier, Y.

Using the formulation of Levinson's algorithm in terms of cross correlation estimates as presented by RISSANEN, it is shown that, in the case of a finite length autocorrelation serieR(z)(i.e. moving average models), this procedure generates a serie that converges towards a causal impulse responseE(z). This response has a finite length and its autocorrelationE(z)cdotE(z^{-1})is proportionnal toR(z). Moreover it is shown thatE(z)has all its roots inside or on the unit cercle (minimal phase response). The proof uses mainly the properties of the PARCOR coefficients.

Published in:

Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '80.  (Volume:5 )

Date of Conference:

Apr 1980