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Recursive scheme for ARMA coefficient and order estimation with noisy input-output data

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2 Author(s)
Tan, H.-Z. ; Dept. of Electron. Eng., City Univ. of Hong Kong, Hong Kong ; Chow, T.W.S.

A novel estimation scheme for determining ARMA orders and coefficients is presented. The system is assumed to be excited by a non-Gaussian random sequence. Third-order cumulants of the input-output data are introduced to eliminate additive Gaussian noise of unknown variances at the measurement site. The proposed algorithm is performed order-recursively until the estimated coefficients converge where the defined norm of error squares (NES) nearly stays at a constant value. The system orders thereby need not be known a priori. Theoretical analyses together with experimental results indicate that the system orders can be accurately determined with the same procedures while the corresponding system coefficients are being estimated

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Vision, Image and Signal Processing, IEE Proceedings -  (Volume:146 ,  Issue: 2 )