自回归滑动平均建模中观测噪声方差估计的新方法-控制理论与应用.PDF

30 2 Vol. 30 No. 2 2013 2 Control Theory Applications Feb. 2013 DOI: 10.7641/CTA.2013.20409 , , , (1. , 100191; 2. , 100191) : (ARMA)Yule–Walker, , , (AR) (MA) . , , ARMAAR, 1Yule–Walker. , , ARMA, , . : ; ; ; ; : V241.62+2 : A A new measurement noise estimation method for autoregressive and moving average modeling XIONG Shao-feng , WANG Ke-dong , JIANG Rui , GAO Yue (1. School of Astronautics, Beihang University, Beijing 100191, China; 2. Telecommunication Planning Research Institute of MIIT, Beijing 100191, China) Abstract: In the existing autoregressive and moving average (ARMA) modeling methods, only the higher-order mea- surement autocovariances are used to form the Yule-Walker equations, so that the estimation accuracy of measurement noise variance deteriorates due to the unemployment of low-order measurement autocovariances. Moreover, if the AR order is not greater than the MA order , the measurement noise variance cannot be estimated in the existing methods. To deal with this problem, we propose a method for estimating the measurement noise variance independently. In this method, the ARMA model is first approximated by a higher-order AR model; then, the Yule–Walker equations of measurement autocovariances are formed with orders starting from one. Because of the full use of statistical information, the estimation accuracy of the measurement noise variance is improved. This not only lays the foundation for improving the accuracy in esti