MA Identification using Fourth Order Cumulants

Abstract : The algorithm proposed aims at identifying moving average coefficient matrices of an MA process, not necessarily minimum-phase, driven by an unobserved non-Gaussian input. It is assumed that the observation available is of limited duration, and coefficients are estimated from the set of fourth order output cumulants. It is shown that much more equations than unknowns are available, and that robustness for short data records can be obtained by utilizing them all.
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Article dans une revue
Signal Processing, Elsevier, 1992, 26 (3), pp.381--388. <10.1016/0165-1684(92)90122-D>
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https://hal.archives-ouvertes.fr/hal-00347140
Contributeur : Pierre Comon <>
Soumis le : dimanche 14 décembre 2008 - 18:52:20
Dernière modification le : mercredi 21 janvier 2009 - 16:24:36

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Pierre Comon. MA Identification using Fourth Order Cumulants. Signal Processing, Elsevier, 1992, 26 (3), pp.381--388. <10.1016/0165-1684(92)90122-D>. <hal-00347140>

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