Abstract
Abstract This paper presents an approach to estimate AR and MA parameters of an ARMA model. A ( p + q ′)-stage overfitting lattice structure filter is used to obtain estimates of the AR and MA parameters of an ARMA ( p , q ) ( q ′ ⩾ q ) model. At first, an overfitting lattice filter is used to estimate the AR parameters, and then with little added computation, the MA parameters can also be obtained easily. This paper also proposes a new adaptive overfitting lattice filter for parameter estimation of time-varying systems. A new method is proposed to obtain the PARCOR coefficients that can be used to estimate the ARMA parameters adaptively.
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