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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. ...

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 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)...

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, > ...

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...

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: 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: "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 ...

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: 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: 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...

Re: Faster moving average filter?

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...

Re: IIR not fully causal?

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 > ...

Wireless channel modelling

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...

Re: Financial Work (was: Designing Filters with non-uniform sampling)

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...

Re: change filter freq. w/o glitches

"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...

Re: Am I missing somethin? was Re: VMSK - are claims genuine ?

"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...

Re: impulse response / phase

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...

Re: Parametric identification and IIR questions

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...

Re: LPC and voice reconstruction

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...

Re: MLE : Random Vs Deterministic

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 ...