A theorem for relationship between the MA process and its inversion for ARMAX identification
作者： Bin Xin , Jie Chen
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摘要: The paper presents a theorem to show the relationship between parameters of Moving Average (MA) process and those its inversed process. can be used for parameter identification MA It is further shown in this that autoregressive moving average with exogenous variable model (ARMAX), based on part, easily achieved. approach, at first, achieves ARX part by directly using least-square estimations find out straightforward estimated observed data. Then, identified similar way. Finally, noise variance computed parameters. Numerical simulations validate effectiveness efficiency proposed approach.
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