Application of the lattice filter to robust estimation of AR and ARMA models

A method for estimating the parameters of an autoregressive moving-average (ARMA) model is proposed. A (p+q)-stage lattice whitening filter is used to obtained consistent estimates of the AR parameters of an ARMA (p,p) model. It is shown that a set of MA parameter estimates can also be obtained using this approach with little added computation. The method is used for estimation of the AR parameters of an ARMA process in additive white noise. It is shown that the lattice filter is also useful in robust estimation of the AR parameter on an ARMA process with additive outliers.<
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