Using a compact Kronecker-product-based representation for the cumulants of vector processes, the authors develop several techniques for estimating the parameters of a multichannel ARMA (autoregressive moving average) process, from sample cumulants of the output processes: 1) The AR parameters are estimated first; the MA parameters are then estimated from the AR compensated time-series. (2) AR and IR (impulse response) parameters are estimated simultaneously; (3) An algorithm that handles causal as well as noncausal ARMA models, by transforming the ARMA parameter estimation problem to a pair of MA parameter estimation problems, is given. Order-determination techniques are also proposed. The algorithms are applicable to both stochastic and deterministic problems.
|Original language||English (US)|
|Number of pages||4|
|Journal||ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings|
|State||Published - Dec 1 1989|
|Event||1989 International Conference on Acoustics, Speech, and Signal Processing - Glasgow, Scotland|
Duration: May 23 1989 → May 26 1989