ARMA模型参数的分步估计方法

Step Identification Method for ARMA Model

提出了一种 ARMA模型的线性估计方法 ,这种方法通过两次 AR模型的估计来实现 ARMA的估计 .讨论了一维时间序列开环系统、闭环系统的辨识方法及定阶问题 .仿真结果表明该方法具有良好的准确度和可靠性 ,可直接用于结构状态监测 .

A kind of linear identification method for ARMA model is presented.This method can give unbiased estimation of ARMA model parameters through two times of AR model parameters estimating,and the algorithm of AR model parameters estimating is linear.The identification method for the one dimension time series,open loop and closed loop system are developed by use of model ARMA.The stimulation results show that the methods presented in this paper have a good accuracy and reliability,and can be directly used for condition monitoring of a structure failure.