ARMA Spectral Estimation via Model Reduction

• In this paper we study how to estimate autoregressive moving average (ARMA) processes via a high order autoregressive (AR) estimate and model reduction. The model reduction techniques considered are based on the L2-norm. internally balanced realizations, or the Hankelnorm. We apply this estimation technique to the problem of finding narrow-band signals in white noise.

Ämnesord

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

Nyckelord

Automatic control

Closed-form solution

Iterative methods

Least squares approximation

Maximum likelihood estimation

Narrowband

Optimization methods

Reduced order systems

System identification

White noise

Publikations- och innehållstyp

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