A simple set of linear equations for computing autocorrelations of ARMA(p,q) signals with given model parameters

Authors:
John Håkon Husøy
Affiliations:
Department of Electrical Engineering and Computer Science, University of Stavanger, Stavanger, Norway
Venue:
ICICS'09 Proceedings of the 7th international conference on Information, communications and signal processing
Year:
2009

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Time series: theory and methods

Time series: theory and methods
An efficient and versatile algorithm for computing the covariancefunction of an ARMA process

IEEE Transactions on Signal Processing

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Abstract

A new formulation facilitating the determination of the autocorrelation lags, and consequently the autocorrelation matrix, of an autoregressive moving average signal of arbitrary order (ARMA(p, q)) is presented. The main features of our formulation, stated as a set of linear equations to be solved, are 1) its conceptual simplicity 2) its reliance only on primary parameters of the ARMA(p, q) model, and 3) the simplicity of the resulting linear equations.