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

Georgios B. Giannakis, Sanyogita Shamsunder

Research output: Chapter in Book/Report/Conference proceedingConference contribution

7 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 languageEnglish (US)
Title of host publicationIEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages196-199
Number of pages4
ISBN (Electronic)0780309464
DOIs
StatePublished - 1993
Externally publishedYes
Event1993 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993 - Minneapolis, United States
Duration: Apr 27 1993Apr 30 1993

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume4
ISSN (Print)1520-6149

Conference

Conference1993 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 1993
Country/TerritoryUnited States
CityMinneapolis
Period4/27/934/30/93

Bibliographical note

Publisher Copyright:
© 1993 IEEE

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