An efficient and versatile algorithm for computing the covariance function of an ARMA process

摘要

Computation of an ARMA covariance function is a common ingredient in analysis and synthesis of various problems in stochastic control, estimation, and signal processing. Several approaches can be used for this purpose. In this paper, we present an algorithm based on simple polynomial calculations. Compared with alternative strategies, it has small computational load, shows good numerical robustness, and can be extended to handle multivariable ARMA processes, even with complex-valued coefficients.