Best stable and invertible approximations for ARMA systems |
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Authors: | Combettes P.L. Trussell H.J. |
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Affiliation: | Dept. of Electr. Eng., City Univ. of New York, NY ; |
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Abstract: | A method is proposed for finding the best stable and invertible approximations for an autoregressive moving average (ARMA) system, relative to a general quadratic metric in the coefficient space. Mathematically, the problem is equivalent to projecting the regression and moving average vectors of the system onto the set S of coefficients of monic Schur polynomials. The geometry of S is too complex to allow the problem to be approached directly in the ARMA coefficient space. A solution is obtained by constrained steepest descent in the hypercube of reflection coefficients, which is homomorphic to S |
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