Asymptotic properties and covariance expressions of kth-order sample moments and cumulants

Author

Dandawate, Amod V. ; Giannakis, Georgios B.

Author_Institution

Dept. of Electr. Eng., Virginia Univ., Charlottesville, VA, USA

fYear

1993

fDate

1-3 Nov 1993

Firstpage

1186

Abstract

Consistency and asymptotic normality of kth-order sample moments and cumulants of stationary processes is established. Further, asymptotic covariance expressions along with their computable forms are derived and special cases for k=2, 3 and 4 are explicitly discussed. This analysis generalizes the results of Bartlett and provides tools for performance evaluation and comparison of algorithms based on sample moments and cumulants. Simulations verify the given covariance expressions

Keywords

matrix algebra; parameter estimation; signal processing; statistical analysis; algorithms; asymptotic covariance expressions; asymptotic normality; asymptotic properties; consistency; kth-order cumulants; kth-order sample moments; performance evaluation; sample moments; signal processing; simulations; stationary processes; Additive noise; Algorithm design and analysis; Computational modeling; Ear; Gaussian noise; Higher order statistics; Kernel; Performance analysis; Signal generators; Signal processing; Statistical distributions;

fLanguage

English

Publisher

ieee

Conference_Titel

Signals, Systems and Computers, 1993. 1993 Conference Record of The Twenty-Seventh Asilomar Conference on

Conference_Location

Pacific Grove, CA

ISSN

1058-6393

Print_ISBN

0-8186-4120-7

Type

conf

DOI

10.1109/ACSSC.1993.342384

Filename

342384