Title :
Relationship between time-varying higher order statistics and a time-varying moving average model
Author :
Qiu, Lunji ; Tsoi, Ah Chung
Author_Institution :
Sch. of Electr. & Electron. Eng., Nanyang Technol. Univ., Singapore
Abstract :
The parameters of a time-varying moving average (MA) model of a nonstationary signal are shown to be related to the cumulants of the signal generated from a nonGaussian independent and incrementally distributed input. Therefore, it is shown that the cumulants can be computed from the parameters of a time-varying MA model, and vice verse
Keywords :
control system analysis; higher order statistics; moving average processes; parameter estimation; time-varying systems; incrementally distributed input; nonGaussian independent input; nonstationary signal; signal cumulants; time-varying higher order statistics; time-varying moving average model; Autocorrelation; Equations; Higher order statistics; Signal generators; System identification; Time series analysis; Time varying systems; White noise;
Conference_Titel :
Industrial Electronics, Control, and Instrumentation, 1995., Proceedings of the 1995 IEEE IECON 21st International Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-3026-9
DOI :
10.1109/IECON.1995.483950
