A Algorithem of Determining the order and Identifying the Parametere of ARMA Models
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摘要:
本文讨论了一般的 ARMA 模型,导出模型的冲激响应序列 h(i)与参数 ai, bi的关系式,进而给出了判定模型的阶(M,N)的算法,然后由己导出的关系式及判阶算法,导出了辨识模型参数ai, bi的快速算法。最后进行了微机仿真,验证了算法的正确性。
Abstract:
This paper discusses general ARMA models. The formulas have been developed about the relationship of the impulse response sequence of the models and their parameters {ai} and {bi},then a algorithm determining the order based on the impulse response sequence is given, and a fast algorithm for {ai} and {bi} is devloped by the formulas and determining order algorithm. At last,the simulation experiment is performed,it illustrates the algorithms are true.
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吕锐.一维ARMA模型判阶及参数辨识的一种算法[J].国防科技大学学报,1986,(1):139-144. LYU Rui. A Algorithem of Determining the order and Identifying the Parametere of ARMA Models[J]. Journal of National University of Defense Technology,1986,(1):139-144.