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Automatic modulation classification (AMC) of unknown communications signals is employed in both commercial and military applications, such as cognitive radio, spectrum surveillance, and electronic warfare. Most of the AMC methods proposed in the literature are developed for systems with a single transmit antenna. In this paper, an AMC algorithm for multiple-input multiple-output (MIMO) signals is proposed, which is based on higher-order cumulants. The use of cumulants with different orders, as well as their combinations as feature vectors are investigated. The ideal case of a priori knowledge of the channel state information (CSI) is considered, along with a setting of practical relevance, where the channel matrix is blindly estimated through independent component analysis. The performance of the proposed algorithm with different features is evaluated through simulations and compared with that of the average likelihood ratio test (ALRT).