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AN ADAPTIVE IDENTIFICATION ALGORITHM FOR NONMINIMUM PHASE ARMA MODELS |
Song Yu; Zhang Xianda; Li Yanda |
Department of Automation, Tsinghua University, Beijing 100084 |
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Abstract This paper proposes an adaptive identification algorithm for nonminimum phase ARMA models in additive colored Gaussian noise. The model input is assumed to be an i. i. d., non-Gaussian random process. The algorithm utilizes higher-order statistics of the observed signal alone. It estimates the AR and MA parameters successively in each iteration without computing the residual time series. The stochastic gradient method is used in parameter updating. Simulation resutls show the effectiveness of the algorithm.
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Received: 05 December 1994
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