A modified direct whitening method for ARMA model parameter estimation

A modified version of direct whitening method which is called MDWM is proposed as an ARMA model parameter estimation technique. The direct whitening method (DWM) proposed by the author gives the parameter estimates which make the prediction errors uncorrelated. At some model, the implemented DWM alg...

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Bibliographic Details
Published in2007 International Conference on Control, Automation and Systems pp. 2639 - 2642
Main Author Sang Man Seong
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.10.2007
Subjects
ARMA model
Automatic control
Automation
Control system synthesis
Cost function
DWM
Educational technology
Electronic mail
Equations
MDWM
Parameter estimation
PEM
Poles and zeros
Yttrium
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Summary:A modified version of direct whitening method which is called MDWM is proposed as an ARMA model parameter estimation technique. The direct whitening method (DWM) proposed by the author gives the parameter estimates which make the prediction errors uncorrelated. At some model, the implemented DWM algorithm falls at local minimum and give missing parameter estimates. This is similar in the well known PEM. To overcome this problem, MDWM which choose the consistent estimates among a large number of DWM estimates is proposed. In the simulation for the models which have poles and zeros are very close, the proposed method gives good estimates.
DOI:10.1109/ICCAS.2007.4406813