By Topic

Applying the symmetry properties of third order cumulants in the identification of non-Gaussian ARMA models

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Hashad, A.I. ; Dept. of Electr. & Comput. Eng., Naval Postgraduate Sch., Monterey, CA, USA ; Therrien, C.W.

The third order cumulant of the output of an ARMA (p,q) model, driven by unobservable non-Gaussian i.i.d. noise, is used to identify the model parameters. The model is assumed to be causal and stable but need not be minimum-phase. The symmetry properties of the third order cumulant are applied to use the cumulant values in the first non-redundant region, where it is proved that the matrices used to solve for the AR parameters are of full rank and have a transpose equivalence that can be used to enhance the efficiency of the estimation process. The estimated AR parameters are then used to estimate the MA order and parameters. The simulation results also show that the AR model order can be estimated from the scattering of the estimated poles in the complex Z-plane.

Published in:

Higher-Order Statistics, 1993., IEEE Signal Processing Workshop on

Date of Conference:

1993