AN APPROACH TO ARMA MODEL IDENTIFICATION FROM NOISE-CORRUPTED OUTPUT MEASUREMENTS

This letter extends the Yule-Walker method to the estimation of ARMA parameters from output measurements corrupted by noise. In the proposed method it is assumed that the noise variance and the input are unknown. An algorithm for the estimation of noise variance is, therefore, given. The use of the variance estimation method proposed here together with the Yule-Walker equations allow the estimation of the parameters of a minimum phase ARMA model based only on noisy measurements of its output. Moreover, using this method it is not necessary to solve a set of nonlinear equations for MA parameter estimation as required in the conventional correlation based methods.