Design of Time-Varying ARMA Models and Its Adaptive Identification

Yoshikazu MIYANAGA  Eisuke HORITA  Jun'ya SHIMIZU  Koji TOCHINAI  

Publication
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E77-A    No.5    pp.760-770
Publication Date: 1994/05/25
Online ISSN: 
DOI: 
Print ISSN: 0916-8508
Type of Manuscript: Special Section INVITED PAPER (Special Section on Signal Processing and System Theory)
Category: 
Keyword: 
adaptive identification,  ARMA model,  speech analysis,  time-varying parameter estimation,  recursive least mean square methods,  

Full Text: PDF>>
Buy this Article


Summary: 
This paper introduces some modelling methods of time-varying stochastic process and its linear/nonlinear adaptive identification. Time-varying models are often identified by using a least square criterion. However the criterion should assume a time invariant stochastic model and infinite observed data. In order to adjust these serious different assumptions, some windowing techniques are introduced. Although the windows are usually applied to a batch processing of parameter estimates, all adaptive methods should also consider them at difference point of view. In this paper, two typical windowing techniques are explained into adaptive processing. In addition to the use of windows, time-varying stochastic ARMA models are built with these criterions and windows. By using these criterions and models, this paper explains nonlinear parameter estimation and the property of estimation convergence. On these discussions, some approaches are introduced, i.e., sophisticated stochastic modelling and multi-rate processing.