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ESTIMATING MA COEFFICIENT FROM ARMA

Hi All, I am working on ARMA coefficient determination using a data sequence. I have no idea of the underlying system from which the data was generated . What i only have is the data and thsi si as shown in the vector form below. If the data is labeled d = [d(1),d(2),d(3),d(4),d(5),d(6),d(7)...

Finding ARMA coefficients

Hello! I have a problem to understand ARMA filter dsign. I would be thankful to tell me in detail how can find coefficients of the ARMA filter for any time-series data. Thank you. ...

Approximate ARMA process by AR process

Is there an optimal, or perhaps just 'standard', method of approximating some given ARMA process (the coefficients and order are given and I assume zero-mean unit-variance white Gaussian input) by an AR process? I thought about generating an output sequence from the ARMA process and then esti...

how use ARMA coefficients

Hi guys, for the first time i'm looking information about arma models. it isn't my aim learn how to built it but just use the coefficients i already have. the coefficients are obtained with a NLS algorithm so, i've a time serie in a spreadsheet and coefficients for AR(2) and MA(2). what formula...

from state space to arma

Hi all, I would be greatfull if someone could advice me on the following problem. I have a state space model with matrices A,B,C (x(k+1)=Ax(k)+Bu(k),state eq. y(k)=Cx(k)) how can from this state space form to pass in a form of arma.Can i use rls to estimate arma coefs? ...

Hilbert transform of ARMA filter

Suppose I have an ARMA filter of order N with known A and B coefficients. Does there exist another ARMA filter of order N whose impulse response (and output) is the Hilbert transform of the original filter? If so, what is the expression relating the two sets of coefficients? Thanks! ...

ARMA parameter estimation from noisy observations

Hi I am trying to fit an (8,5) ARMA model to a time series in the presence of additive white noise. The SNR is around 10-20dB. So far I have tried the armax function from the Matlab system identification toolbox, the ARMASA toolbox for Matlab and a reduced statistics algorithm. Unfortunately I...

ARMA modeling

I am looking for an algorithm to model a system using an ARMA filter. The input and the desired output are available. Is there an iterative algorithm that can give a global optimum solution ? Any good reference ? Regards Tom ...

Question about the z-transform for ARMA modelling

Hello! I have some questions about the z-transform and what to use it for in for example ARMA-filters. I know it is used to find poles and zeros, but what else? Consider an ARMA filter: y(t)+a1*y(t-1)+a2*y(t-2)=x(t)+c1*x(t-1)+c2*x(t-2) After z-tranformation it can be written: Y(z)=H(z)...

From Z-transform to Laplace

Hello, I have a transfer function from ARMA or AR model having some high order. I want to obtain H(s). My approach is to assume that H(s) will have a form that will result in a high H(z) ARMA/AR model , and find a relation between these two!! I would appertiate any suggestion or comment, ...

multivariate cepstrum

Hi I know what the cepstrum of a univariate ARMA model is. Does anyone know how to extend the idea to multivariate ARMA processes? Recomendations for a good textbook? MODEL: x(t) = SUM( k=1..P, a(k)x(t-k) ) + SUM( k=1..Q, b(k)w(t-k) ) where w(t) ~ N(0,S) are normally distributed multiv...

ARMA model statistical properties

I have an ARMA process with known parameters. Are there general expressions for variance and possibly autocorrelation of the output for such processes? I can find the above for an order-(1,1) process in for example Shanmugan & Breipohl's "Random Signals" (Wiley, 1988), but is it possible for ...

Re: Large moving average

Eric Jacobsen wrote in news:3k4hf253kj5ta0vp7d918ptgkssobu7pis@4ax.com: > Ray, just picking a nit, but many people use the term "moving average > filter" or "MA filter" generalized to include all FIRs. Averages can > be weighted, so an MA filter _in general_ would include any FIR, > ...

Re: Matrix Problem

On 10 Aug, 14:39, Gordon Sande wrote: > On 2009-08-10 07:14:49 -0300, Rune Allnor said: > > Then consider this: If there was any way *whatsoever* > > to recover the data from the autocorrelation, all the > > textbooks would at least mention it. No matter how > > technically inv...

Partial Fraction Decomposition in c++

Hello! In order to calculate the Amplitude of a pole of an ARMA filter, I realise that I have to do a partial fraction decomposition (PFD) of the ARMA filter transfer function. The PFD has to be done, so that I can calculate the residuum of the transfer function at each pole. I have the tra...

estimating data using parametric methods

Hi! I have some questions which i would have some answers to. I have some data that i have to study using its spectra. To get the spectra i use AR and ARMA estimators. How do i choose an AR and ARMA method. I have used Least-square method and two stage least-square method because i have heard tha...

what justify an AR model?

If a time series is supposed to be generated by an AR model, how to justify such a supposition, what's the physical mechanism behind it? that is, why not model it by a MA or ARMA model? Is Yule-Walker the common and PRACTICAL way to find out the parameters of the AR model? Pls give some light o...

Re: BER estimation with "block-serial" approach

The block-serial approach hinges on block independence. So the answer to your question, "what is the minimum block-size" is given simply as the size which will achieve good approximation to block independence. There are two factors determining the correlation between blocks. The first is the d...

Re: (over or under) Parameter Estimation

vimal_bhatia2@yahoo.com (Vimal) wrote in message news: ... > Thanks Rune... :-) > > Now one small question, can I assume different tap weights H = [h(0), > ..., h(N)] as different parameters. > > From literature it seems that mean (modes), variance etc. are taken as > parameters whi...

Re: Non-orthogonal decompositions

On 2 Feb, 08:29, "versodsp" wrote: > The other technique I know to extract a basis from a signal is the > Empirical Mode Decomposition that is very compact but not very scientific > as the name itself suggests. There is no science involved in choosing models and bases for signal analy...

Re: First order IIR filter

On Feb 25, 1:36 am, Glen Herrmannsfeldt wrote: > steveu wrote: > > > Rohit wrote: > > (snip) > > > > > I googled a lot about IIR filters but nowhere I could find this > > > > formula. > > > Yes it is an IIR filter. It might be that it is used more by > > > statisticians than EE...

Re: NOISE AND DATA

On 30 Jan, 09:56, "ARMA GUY" wrote: > Suggestion needed > > I have a set of noiseless data , x= [1 2 3 4 5 6 ]. > > I want to add noise to it using > > g= x+ 0.5* rand(1,6) > > How do i calculate the signal to noise ratio of this signal if the > variance of the noise is 0.5.I ...

Re: Maximizing dynamic range of fixed point IIR filter

Jerry Avins wrote: > I think I remember a proof here that there are pathological waveforms -- > not the result of sampling -- that will cause any IIR structure to > overflow. Not true. A IIR lattice filter for a stable transfer function using saturating arithmetic will never overflo...

Re: Convolution

krishna_sun82 skrev: > This is just a curious doubt. What is the statistical significance of > convolution? For instance, we define the auto correlation in terms of > expectation as > R(u) = E(X.Xu). > Similarly, do we have any expression for convolution of two signals? Can I > have it...

Re: name of fft(log(fft())) algorithm?

Hi Dirk. Dirk> What signals do you normally encounter that are guaranteed to be Dirk> minimum phase? As some have already mentioned in this thread, the cepstrum is (or was?) often used in speech processing. It is often argued, that an AR model is physically meaningful in modeling the voca...

Re: .1% frequency measure of a 6.6ms tone?

On Oct 25, 6:55 pm, "cpope" wrote: > If I only have 6.6 millisecond worth of data can I measure the frequency of > a 7 kHz tone to within .1 percent ( 7 Hz)? > > I think no because the FFT could only resolve 1/6.6e-3 ~= 150 Hz. He thinks > it can be done with a filter and an fm demodula...

About the Blind Channel Estimation in CP OFDM

hi all , Currently , i need to generate an Blind channel estimation in my OFDM system , but i am really not that understand about the blind channel estimation , for my understanding , i only know that we can use the training sequence from transmitted signal to estimate the channel.Ya , this is ve...

Re: System Identification

On Jul 17, 1:43=A0pm, Vladimir Vassilevsky wrote: > I wonder how and why the real negative poles are happening, and what to > do with them. The data doesn't seem to suggest anything like decaying > exponentials at or near Nyquist. I do not know whether the mechanism is the same, but I...

State-space formulation of lattice-ladder filter

As I understand it, an ARMA system can be realized as a lattice/ladder filter (e.g. Matlab: tf2latc). In "EFFICIENT ALGORITHM FOR ADAPTIVE NORMALISED LATTICE FILTERS" by Nguyen, 1983 (found on IEEExplore), there is a state-space formulation of a lattice filter. Does anyone know of a state-spa...

Re: "Cyclic" first moment?

Oli Filth wrote: > [Sorry, my newsreader screwed up the subject in my previous post - this > is what is should be!] > > > Hi, > > I have a problem, which seems to boil down to a maths question. Any > ideas would be appreciated! > > Given a power distribution around the unit ci...

Re: Precise Filter Design

On Mon, 17 Jan 2005 19:10:16 GMT, Al Clark wrote: > > Do you want to become famous? Ah, but fame is fleeting; infamy is forever. > > I think your method would be a good Rick > > Lyons' article for IEEE SP Magazine. Suits me fine. As I mentioned earlier, I invented the technique ...

Estimate Observation Noise Variance

Can anyone give some pointers on estimating observation noise variance from an observed set. I have an process (ARMA) that I am estimating the parameters of (blind estimation, I don't know the input sequence, I only see the output), it would be useful to be able to have an estimate of the vari...

Lattice FPGA

Hi everyone , I am trying to implemente a bandpass IIR filter in a FPGA. It works fine in SOS sections but we are trying to cut down the latency of it. First suggestion was to use the parallel form .Once we got all the residues and put them in the architecture of the filter , the frequency re...

Parametric Modelling/Filtering

Hi There I am looking at parametric model structures in DSP and Control systems. and am interested to know if you guys have experience of using the ones outlined (apart from the obvious ones) The general model I am looking at is, for the SISO Case A(z^-1)y(k) = [B(z^-1)/F(z^-1)]*[(z^-nk...

OFDM Multipath Time-Varying Channel

Hi there. I have a question regarding the wireless channel model to be used on an OFDM system simulation. I have investigated for a while and most of the people use an ARMA Filter to simulate the time variations of the wireless channel, but this approach is for modeling a multipath channel. The thi...

Re: Basic signal processing question

George wrote: > Hi there, > I need to study the behaviour of a system. The two things I know are > the input signal (sinusoidal in the range of 0.5Hz-4Hz) and the > response of the system over that range (which is also more or less a > sinusoidal). > > Is there any way to find the tranfer ...

Re: Anti-Aliasing filter

Hi, I have a question about anti-aliasing filters which I thought would fit in this discussion thread. I have an RC circuit and my ultimate goal is to estimate the value of the capacitor using least square estimation. In order to carry out this estimation I need to discretize the system transfe...

Re: frequency analysis for very short signals

"Ingmar Seifert" wrote in message news:op.sywxsernz4mja3@phoenix.csn.tu-chemnitz.de... > Hello everyone, > > I have a question regarding the frequency analysis for very short signals > or part of signals. > > In a project we get data that has the character of a sinus function > s...

Re: Frequency estimation using Fourier coefficients from multiple series

In article , Vladimir Vassilevsky wrote: > Ken Prager wrote: > > > Hi all, > > > > I am working on a problem which requires us to very accurately estimate > > the frequencies of a number of coarsely-spaced sinusoids buried in noise. > > [...] > > This looks like...

Re: Identification of Non-Minimum Phase zeros

HelpmaBoab wrote: > If we have a non-minimum phase FIR system (1-2z^-1) when it is quite easy to > identify this system (assuming the input is known white driving noise) using > LMS or recursive-least squares. > > However, if we add uncorrelated white noise at the output then the > equ...