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Autoregressive Moving Average Spectral Estimation: A Model Equation Error Procedure

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1 Author(s)
Cadzow, James A. ; Department of Electrical Engineering, Virginia Polytechnic Institute, Blacksburg, VA 24061

A procedure is presented for generating an autoregressive moving average (ARMA) spectral model of a stationary time series based upon a finite set of time series' observations. The ARMA model's autoregressive coefficients are estimated by minimizing a quadratic function of a set of basic error terms. In examples treated to date, this method has demonstrated an exceptional ability in resolving closely spaced narrow band signals in a low signal-to-noise environment where other procedures such as the maximum entropy method often fail. Its effectiveness on other classes of time series also shows promise and a more general evaluation is presently being conducted. With this in mind, the new ARMA procedure promises to be an important spectral estimation tool.

Published in:

Geoscience and Remote Sensing, IEEE Transactions on  (Volume:GE-19 ,  Issue: 1 )

Date of Publication:

Jan. 1981

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