A Fast Converging Algorithm for Landau's Output-error Method
نویسنده
چکیده
In this paper an approach to on-line ARMA parameter estimation based on a pseudo-linear regression and a QR matrix decomposition is developed. The algorithm has proven to be stable and has fast convergence properties if the unknown ARMA model satisses the strictly positive real condition. The derivation of the algorithm is straightforward and the computational complexity is O(N 2), however, fast versions of O(N) computational complexity exist.
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