Unbiased estimation of symmetric noncausal ARMA parameters using lattice filter
An unbiased estimation method for symmetric noncausal ARMA model parameters is presented. The proposed algorithm works in two steps: first, a spectrally equivalent causal system is identified by lattice whitening filter and then the equivalent noncausal system is reconstructed. For AR system with noise or ARMA system without noise, the proposed method does not need any iteration method nor any optimization procedure. An estimation method of noise variance when the observation is made in noisy situation is discussed. The potential capabilities of the algorithm are demonstrated by using some numerical examples.
lattice filter noncausal symmetric arma system parameter estimation noise variance estimation