ARMA PARAMETER ESTIMATION

Estimating the parameters of AR-MA sequences is fundamental. Here we present another method for ARM

Description

File name: ARMA_LAST.M

This function provides an ARMA spectral estimate which is maximum entropy satisfying correlation constraint (number of poles)and cepstrum
constrains (number of ceros)

The function requires 3 inputs: Input signal, Order of denonominator, Order of Numerator and the output variable are: numerator coeffients, denominator coeficients and square-root of input noise power.

ARMA_LAST function requires spa_corc.m file to compute the autocorrelation matrix

• MATLAB release: MATLAB 7.0.4 (R14SP2)

[Scott Miller]

Could you post a reference to the technique used?

Scott

[Marcelo Perlin]

Needs a lot of improvement.

My remarks:
- add more details about input / output arguemnts
- Add better description about the submission (who may use it, for what)
- add error checking
- add examples scripts

Also, I've tried to run it with:

xinf=randn(100,1);
np=1;
nq=1;

[sigma,outn,outd]=arma_last(xinf,np,nq);

And all I got was 1 in all the outputs. I know what a ARMA model is. Something's got to be wrong.

I'll be glad to give a better rating if the improvements are made..