Abstract
The Astrom-Gray-Markel recursions algorithm computes the power of an ARMA model from its power spectral density. Two applications of this algorithm are shown in this paper. The first application is the derivation of some ARMA identities relating the ARMA coefficients, the reflection coefficients and the tap weights. They provide an insight about the AR spectral shape without actually plotting the spectrum. The second is an analytical evaluation of the cross-spectral correlation (CSC) between two ARMA models without any numerical integrations. The CSC is useful to identify time-varying signals of the same type when adaptive filtering techniques can be applied to these signals, as an alternative to a time-domain correlation which may require long durations of the signals.
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