LD/sup 2/-ARMA identification algorithm

Abstract

The authors present the LD/sup 2/-ARMA identifier, a novel algorithm that solves the essentially nonlinear autoregressive moving-averaged (ARMA) identification problem with a linear procedure, in two steps: an order selection algorithm followed by an ARMA parameter estimator. The determination of the AR and MA coefficients involves the solution of two dual systems of linear equations. These systems decouple the estimation of the autoregressive component from the estimation of the moving average component. The selection of the number of poles and of the number of zeros is accomplished by a scheme that minimizes the mismatch of the data to each proposed model. Simulated experiments on the proposed order selection procedure are presented.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>