Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation

Georgios B. Giannakis; Sanyogita Shamsunder

doi:10.1109/ICASSP.1993.319628

Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation

Georgios B. Giannakis, Sanyogita Shamsunder

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

8 Scopus citations

Abstract

The problem of determining the orders and the parameters of ARMA processes with unknown but non-Gaussian pdf is addressed. Asymptotically optimal, information theoretic criteria are developed based on higher-order statistics of the observed processes. The proposed algorithms rely upon sample cumulants, or polyspectra and allow non-minimum phase and non-causal models unlike the conventional second-order correlation based methods. Unlike the linear rank-based cumulant methods, the non-linear information theoretic type methods do not require subjective thresholding and yield strongly consistent estimators for the ARMA orders as well as the pammeters. Simulation examples illustrate the feasibility of the theory.

Original language	English (US)
Title of host publication	IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	196-199
Number of pages	4
ISBN (Electronic)	0780309464
DOIs	https://doi.org/10.1109/ICASSP.1993.319628
State	Published - 1993
Externally published	Yes
Event	1993 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993 - Minneapolis, United States Duration: Apr 27 1993 → Apr 30 1993

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume	4
ISSN (Print)	1520-6149

Conference

Conference	1993 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993
Country/Territory	United States
City	Minneapolis
Period	4/27/93 → 4/30/93

Bibliographical note

Publisher Copyright:
© 1993 IEEE

Publisher link

10.1109/ICASSP.1993.319628

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Giannakis, G. B., & Shamsunder, S. (1993). Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation. In IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993 (pp. 196-199). (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 4). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICASSP.1993.319628

Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation. / Giannakis, Georgios B.; Shamsunder, Sanyogita.
IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993. Institute of Electrical and Electronics Engineers Inc., 1993. p. 196-199 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 4).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Giannakis, GB & Shamsunder, S 1993, Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation. in IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993. ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, vol. 4, Institute of Electrical and Electronics Engineers Inc., pp. 196-199, 1993 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993, Minneapolis, United States, 4/27/93. https://doi.org/10.1109/ICASSP.1993.319628

Giannakis GB, Shamsunder S. Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation. In IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993. Institute of Electrical and Electronics Engineers Inc. 1993. p. 196-199. (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). doi: 10.1109/ICASSP.1993.319628

Giannakis, Georgios B. ; Shamsunder, Sanyogita. / Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation. IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993. Institute of Electrical and Electronics Engineers Inc., 1993. pp. 196-199 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

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Information theoretic criteria for non-Gaussian ARMA order determination and parameter estimation

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