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.
Finding ARMA coefficients
Started by ●April 7, 2006
Reply by ●April 7, 20062006-04-07
"csksms" <kscsms123@yahoo.com> wrote in message news:BM2dnU2bHJgLGKvZnZ2dnUVZ_tOdnZ2d@giganews.com...> 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. > >Depends - do you know the white noise input? If so use recursive least squares (RLS) otherwise use extended RLS (recursive maximum likelihood). Tam
Reply by ●April 9, 20062006-04-09
csksms wrote:> 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.This is a newsgroup, not a library. ARMA modeling is a topic which is usually covered in a whole book (or at least several chapters thereof) and you can't expect anybody to sit down and recite the whole material here. Get yourself a text book, read up, and come back with more specific questions.
Reply by ●August 20, 20062006-08-20
>csksms wrote: > >> Hello! I have a problem to understand ARMA filter dsign. >> I would be thankful to tell me in detail how can find coefficients ofthe>> ARMA filter for any time-series data. >hello thats right, you need to read a chapter on adaptive filtering. assuming you are talking about system identification using an arma filter, try the steiglitz mcbride method. it requires few iterations, since the work required for each iteration is quite a bit. however it is pretty unstable for a signal of very high order (IMO 10 or above) there is a paper from paulo diniz published in 1994 (dont have its link) which explains the method pretty well. you could google it. good luck :-)