TY - JOUR
T1 - Cumulant Based Identification of Multichannel Moving-Average Models
AU - Giannakis, Georgios B.
AU - Inouye, Yujiro
AU - Mendel, Jerry M.
PY - 1989/7
Y1 - 1989/7
N2 - Given cumulants of a stationary, perhaps noisy, non- Gaussian r-variate moving-average, MA(q) process, we study identifiability conditions, under which the MA coefficient matrices, the input statistics, and the order q can be uniquely determined. The selection of a unique representative from the equivalence class corresponding to a given cumualant structure involves less restrictions than that corresponding to a given covariance structure. We derive two algorithms for estimating the (possibly) nonminimum-phase MA coefficient matrices.
AB - Given cumulants of a stationary, perhaps noisy, non- Gaussian r-variate moving-average, MA(q) process, we study identifiability conditions, under which the MA coefficient matrices, the input statistics, and the order q can be uniquely determined. The selection of a unique representative from the equivalence class corresponding to a given cumualant structure involves less restrictions than that corresponding to a given covariance structure. We derive two algorithms for estimating the (possibly) nonminimum-phase MA coefficient matrices.
UR - https://www.scopus.com/pages/publications/0024700978
UR - https://www.scopus.com/pages/publications/0024700978#tab=citedBy
U2 - 10.1109/9.29415
DO - 10.1109/9.29415
M3 - Article
AN - SCOPUS:0024700978
SN - 0018-9286
VL - 34
SP - 783
EP - 787
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
IS - 7
ER -