TY - GEN
T1 - Noisy input/output system identification using cumulants and the Steiglitz-McBride algorithm
AU - Anderson, John M M
AU - Giannakis, Georgios B.
PY - 1991
Y1 - 1991
N2 - By transforming the input/output system identification problem into the high signal to noise ratio (SNR) cumulant domain the Steiglitz-McBride algorithm is extended, yielding an autocumulant and cross-cumulant based approach for autoregressive moving average (ARMA) modeling. The autocumulant approach requires that the ARMA parameters be estimated by first estimating the cumulants of the ARMA parameters. The cross-cumulant formulation permits the ARMA parameters to be estimated directly. Possible convergence points and convergence issues are investigated. Simulations are presented to illustrate the performance of these algorithms.
AB - By transforming the input/output system identification problem into the high signal to noise ratio (SNR) cumulant domain the Steiglitz-McBride algorithm is extended, yielding an autocumulant and cross-cumulant based approach for autoregressive moving average (ARMA) modeling. The autocumulant approach requires that the ARMA parameters be estimated by first estimating the cumulants of the ARMA parameters. The cross-cumulant formulation permits the ARMA parameters to be estimated directly. Possible convergence points and convergence issues are investigated. Simulations are presented to illustrate the performance of these algorithms.
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M3 - Conference contribution
AN - SCOPUS:0026284546
SN - 0818624701
T3 - Conference Record - Asilomar Conference on Circuits, Systems & Computers
SP - 608
EP - 612
BT - Conference Record - Asilomar Conference on Circuits, Systems & Computers
PB - Publ by Maple Press, Inc
T2 - 25th Asilomar Conference on Signals, Systems & Computers Part 1 (of 2)
Y2 - 4 November 1991 through 6 November 1991
ER -