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Topic: arma(p q) process covariance
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Posts: 25
Registered: 8/6/10
arma(p q) process covariance
Posted: Jun 25, 2012 12:55 PM
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I have estimated autoregressive and moving average coefficients of an arma(p
q) processes. I now wish to use these to calculate process covariances,
for filter design. Has anyone help? I can only locate powerful and
expensive commercial packages to solve this.

Many thanks,


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