A regularized Cepstrum and Covariance Matching method for ARMA(n,m) design
نویسنده
چکیده
Abstract An ARMA(n,m) model is uniquely determined by its n first covariances and m first cepstrum coefficients. However, there does not always exist a model matching an estimated set of these parameters. We propose a method determining an asymptotically stable minimum phase model that match the covariances exactly and the cepstrum parameters approximatively. A convex barrier term is used for the regularization and the model is determined by a convex optimization problem.
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