Title :
Cumulant based identification of multichannel moving-average models
Author :
Giannakis, Georgios B. ; Inouye, Yujiro ; Mendel, Jerry M.
Author_Institution :
Dept. of Electr. Eng., Virginia Univ., Charlottesville, VA, USA
fDate :
7/1/1989 12:00:00 AM
Abstract :
Given cumulants of a stationary, perhaps noisy, non-Gaussian r -variate moving average, MA(q) process, identifiability conditions are studied, under which the MA coefficient matrices, the input statistics, and the order q can be uniquely determined. The selection of a unique representative from the equivalence class corresponding to a given cumulant structure involves fewer restrictions than that corresponding to a given covariance structure. Two algorithms are derived for estimating the (possibly) nonminimum-phase MA coefficient matrices
Keywords :
identification; matrix algebra; time series; coefficient matrices; covariance structure; cumulant based identification; matrix algebra; multichannel moving-average models; nonGaussian r-variate moving average process; time series; Covariance matrix; Gaussian processes; Information filtering; Information filters; Nonlinear filters; Parameter estimation; Parametric statistics; Probability; Signal processing algorithms; Statistical distributions;
Journal_Title :
Automatic Control, IEEE Transactions on
