ARMA Modeling

where the sequence are

where we let . Refer to Kay [25] for a full description. In MATLAB, an ARMA process can be generated with the filter command:

>> e=randn(N,1); >> x=filter(b,a,e * sqrt(sig2));which is directly equivalent to (9.12),(9.13) except for the initial startup. To alleviate startup effects, it is necessary to discard the initial samples of

>> e=randn(N+L,1); >> x=filter(b,a,e * sqrt(sig2)); >> x=x(L+1:L+N);

- Computing the ACF of an ARMA process
- Exact PDF of an ARMA process - Efficient method using Levinson algorithm
- Exact PDF of an ARMA process - Very efficient method using filtering
- Circular ARMA process

- ARMA parameter estimation
- CR Bound analysis of ARMA PDF - exact forms.
- CR bound analysis of circular ARMA parameters
`pdf_arma_circ.m`. - CR Bound analysis of the exact PDF of an ARMA processes - filtering approach.
- ARMA Modules