A realization method of an ARMAX lattice filter

摘要

This paper proposes a realization method of an ARMAX lattice filter for frequency-weighting ARMAX model identification. The proposed lattice filter uses an exponentially weighted sliding window for the same application as the extended least squares (ELS) achieves. Based on the proposed structure, the algorithm can perform the frequency-weighting model identification more easily than the ELS. Further, applied to the ARMAX model identification, the proposed algorithm requires fewer multiplications than the ELS does.