CUMULANT BASED PARAMETER ESTIMATION OF MULTICHANNEL MOVING-AVERAGE PROCESSES.

Yujiro Inouye, Georgios B. Giannakis, Jerry M. Mendel

Research output: Contribution to journalConference articlepeer-review

8 Scopus citations

Abstract

Given finite samples of a stationary, perhaps noisy, non-Gaussian r-variate moving-average, MA(q) process, this study investigates cumulant-based 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 cumulant structure involves fewer restrictions than from the equivalence class corresponding to a given covariance structure. Two algorithms for estimating the (possibly) non-minimum-phase MA coefficient matrices are derived.

Original languageEnglish (US)
Pages (from-to)1252-1255
Number of pages4
JournalICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
StatePublished - 1988

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