Spectral Analysis by Stationary Time Series Modeling - Spectral Analysis: Parametric and Non-Parametric Digital Methods - page 137

Chapter 6
Spectral Analysis by Stationary
Time Series Modeling
Choosing a parametric model among all the existing models is by itself a
difficult problem. Generally, this is a priori information about the signal and it
makes it possible to select a given model. For that, it is necessary to know the
various existing models, their properties, the estimation methods for their parameters
and the various possible implementations.
In this chapter, we present the various parametric models of stationary processes.
Chapter 4 brought an introduction to this chapter by presenting the models of the
time series: the ARMA and Prony models have thus already been introduced. The
subject of this chapter is to go through these models by tackling their parameter
estimation problem as well as their implementation form.
6.1. Parametric models
The stationary parametric models discussed in this chapter can be regrouped into
two categories:
− ARMA models,
− Prony models.