带有色观测噪声的ARMA模型参数估计的三段算法

Three-stage Algorithm of Parameter Estimation for ARMA Models with Coloured Observation Noises

提出了带有色观测噪声的自回归滑动平均(ARMA)模型参数估计的三段算法。第一段用递推增广最小二乘法(RELS)估计自回归(AR)参数;第二段用Gevers-Wouters算法估计伴随滑动平均(MA)模型参数;第三段用求不相容线性方程组的最小二乘解得到原始MA参数估值。一个仿真例子说明了其有效性。

Three-stage algorithm of parameter estimation for autoregressivemoving average(ARMA)models with coloured observation noise is presented.In the first stage,the autoregressive(AR)parameter estimation is given byusing the recursive extended least squares(RELS)method. In the secondstage,the parameter estimation of adjoint moving average(MA)model is giv-en by using the Gevers-Wouters iteration algorithm. In the third stage, theoriginal MA parameter estimation is given via solving a inconsistent set of Lin-ear equations by using the least squares method. A simulation example showsits effectiveness.