Closed-form recursive estimation of MA coefficients using autocorrelations and third-order cumulants

The authors derive a simple, recursive, closed-form algorithm for estimating the parameters of a moving-average (MA) model of known order, using only the autocorrelation and the 1-D diagonal slice of the third-order cumulant of its response to excitation by an unobservable, non-Gaussian, IID process. The output may be corrupted by zero-mean, nonskewed white noise of unknown variance. The autoregressive moving-average (ARMA) case is briefly discussed.<
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