ARMA
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csksms - 11:30 07-04-06
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.
...
ekomninos - 05:54 02-05-08
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?
...
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!
...
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
...
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)...
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...
Thomas Arildsen - 08:02 02-10-07
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 ...
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,
> ...
dilpreet06 - 16:51 25-08-06
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...
zqchen - 02:38 16-08-07
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...
05:02 18-04-05
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...
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...
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...
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...
Chris Maryan - 00:00 26-10-07
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...
ericknightX - 00:27 02-03-07
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...
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...
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
...
Alfreeeeed - 10:21 30-11-07
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...
kirLIan - 10:06 20-02-07
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...
fmtzbalt - 21:18 11-09-06
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...
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 ...
"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...
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...
sampson...@gmail.com skrev:
> cman wrote:
> > I'm wondering how an adaptive rolling mean filter is implemented.
> >
> > If you look at this page (the green line):
> >
> > http://medlem.spray.se/aktieanalys/
>
> I looked at the web page to find out what the "adaptive" part refe...
Bernhard wrote:
> Now try to calculate the next sample by only using the
> previous ones. If it helps, use the derivatives, but only
> those which are produced by samples older than the one
> which must be currently calculated.
>
> If you get lost without results, try your idea of
> ...
Okay,
I admit it, I'm beat!
For the last couple of weeks I have been trying to understand how to
model a wireless channel. I've read dozens of paper on MIMO wireless
models, and I am getting absolutely no where -fast!
I really need some help, just some advice on where to look for
informa...
Ah, this is an interesting question. Mathmaticicans and computer
scientists are using computer modeling to predict the market trend,
Economists model the economy trend. The models may be implemented by
DSP concepts, eg., lattice filter to do ARMA modeling. That is true
the market volitile enough...
"Mattias Schick" wrote in message
news:bdea25$rllor$1@ID-168735.news.dfncis.de...
> Jon Harris wrote:
> > [...]
> > Also, I have found that the 4-multiply normalized lattice/ladder filter
> > smoothes "the best" of all the forms I've tried. That is, there is the
> > least amount o...
"Matt Timmermans" wrote in message news: ...
> "Jerry Avins" wrote in message
> news:402c459f$0$3136$61fed72c@news.rcn.com...
> > Goody! Lets apply this to the stock market -- better yet, to the races
> > at Belmont -- and get rich off of it before the rest of the world
> > catch...
Rick Lyons wrote:
...
> > Assume a digital system with impulse response h(n). Take the
> > z-transform of that to compute the transfer function H(z). Then the
> > phase response is arg( H(e^(i w) ) ) and the magnitude response is |
> > H(e^(i w)) |. One doesn't need to compute the magnitude...
Quoc Thang NGUYEN wrote:
> Dear all,
>
> I have little practical knowledge of digital signal processing, but I am
> facing a problem which is beyond what can I think of. Could someone in this
> newsgroup help?
>
> The problem is the following:
> I would like to compensate for the f...
Sergio wrote:
> Hello everybody.
>
> I'm doing some programs that treat human speech. As part of my
> project, I want to do a module that extracts the LPC coefficients of a
> piece of speech, and I'd want to find an algorithm to reconstruct a
> waveform that could sound, aproximately, as...
On 31 Jan, 21:41, "Mads G. Christensen"
wrote:
> > > To
> > > use the MDL, AIC, etc., you have to calculate a likelihood
>
> > Could you please point out exactly where in, say, the
> > AIC computations the likelihood is needed?
>
> > > and this
> > > requires an assumption ...