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Dual Algorithm for Arma Spectrum Estimation



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DUAL ALGORITHH FOR AR8A SPECIRUHESII8ATION M I s a b e l RIBEIRO Y Jose H F MOURA Ifept of E l e c t r i c a l and Computer Eng Carnegie MellonUniversity P i t t s b u r g h PA 15213 USA CAPS InstitcltoSuperiorTQcnico Av Rovisco P a i s 1 P 1096 Lisboa PORTUGAL ABSTRACT The p r e s e n t work describes an ANMA e s t i m a t i o na l g o r i t h mt h adt i f f e r s from t h e known a v atiel ac b h lnei q u e s It s u b s t it thuet e s a u t o c o r r e l a t i o ne s t i m a t i o ns e q u e n c e by t h e sequence of e s t i m a t erde f l e c t i ocno e f f i c i e n t s These a r e by t h e Burg technique Ell Then r e l i a b l yp r o v i d e d i t f i t st ot h ep r o c e s sb o t h a sequence of higher o r d e rl i n e a rp r e d i c t o r s e g Levinsonalgorithm and a sequenceofhigherorderlinearinnovations f i l t e r s e g by r e c u r s i vien v e r s i o n F i n a l l y i t o b t a i ntsh e MA c o e f f i c i e n t s from t hlei n e a r r e l ast ai ot inssf i e d by corresponding the c o e f f i c i e n t s of t h es u c c e s s i v eh i g h e ro r d e rl i n e a r predictors and l i k eow bttihaseien s AR c o e f f i c i e n t s from t h e l i n e a r r e l a t i o n s s a t i s f i e d by t h e c o r r e s p o n d i n cgo e f f i c i e n t s of t hseu c c e s s i v e h i g h e ro r d e ri n n o v a t i o nf i l t e r s We s t r e s st h a t h ep r



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