Stochastic Systems

Estimating the spectrum of a random discrete-time process by the method of instrumental variables

Yu. A. Vasilevskii

Moscow

Abstract: The parameters of an autoregression model with a moving average are estimated in the case of identical coefficients of the autoregression component and of the moving average. The proposed way of solving the problem by the method of instrumental variables is employed in determining the spectrum of a random proces that is a mixture of sine waves and white noise. Results are reported of digital modeling.

UDC: 519.246.2


Received: 02.07.1987

 English version: Automation and Remote Control, 1989, 50:3, 333–339

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