Publications

Miyanaga, Y, Watanabe, H, Miki, N & Nagai, N 1983, 'A fast calculation algorithm for a parameter estimation of autoregressive and moving‐average model', Electronics and Communications in Japan (Part I: Communications), vol. 66, no. 11, pp. 67-75.
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AbstractLevinson's algorithm is one of the fast algorithms for estimating the parameters of an auto‐regressive model. Since this algorithm is recursive with respect to the order of a model, it is an effective method to obtain models of various orders when the true order is unknown. This paper proposes a fast algorithm to estimate the parameters of an autoregressive and a movingaverage model. the parameter estimation can be accomplished using a criterion based on the least square method. the problem of estimating autoregressive and moving‐average parameters from the criterion is reduced to that of solving a 2 × 2 block Toeplitz matrix. This method is an algorithm to solve this block Toeplitz matrix rapidly and it does not require the calculation of the inverse matrix. Also, it is recursive with respect to the order; the orders of an autoregressive model and a moving‐average model can be changed independently of each other. This method is an expansion of Levinson's algorithm and this paper shows the relationship between this method and Levinson's algorithm. Furthermore, properties of this method are discussed and as an example of its application, an experiment of model reduction is performed.

NG, MJT & HOANG, DB 1983, 'OPTIMAL CAPACITY ASSIGNMENT IN PACKET-SWITCHING NETWORKS', AUSTRALIAN TELECOMMUNICATION RESEARCH, vol. 17, no. 2, pp. 53-65.