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Lattice Implementation of the Recursive Maximum Likelihood Algorithm
Systems Controls, Inc., CA, USA.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Stanford University, CA, USA.
1981 (English)Report (Other academic)
Abstract [en]

A lattice implementation of the extended least-squares algorithm was recently developed. The convergence of that algorithm depends on a positive real condition, a fact which limits its usefulness in some applications. In this note the lattice equivalent of the recursive maximum likelihood algorithm is derived. This technique does not require the positive real condition and is suitable for modeling and prediction of general ARMA time-series.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1981. , 4 p.
LiTH-ISY-I, ISSN 8765-4321 ; 472
Keyword [en]
Lattice implementation, Least-squares algorithm, Recursive maximum likelihood algorithm, ARMA time-series
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-104373OAI: diva2:696865
Available from: 2014-02-16 Created: 2014-02-16 Last updated: 2014-02-16

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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