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

Volume

Issue

fYear

1989

fDate

7/1/1989 12:00:00 AM

Firstpage

783

Lastpage

787

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;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.29415

Filename

29415

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1108826