Abstract
Given cumulants of a stationary, perhaps noisy, non-Gaussian r-variate moving average, MA(q) process, identifiability conditions are studied, under which the MA coefficient matrices, the input statistics, and the order q can be uniquely determined. The selection of a unique representative from the equivalence class corresponding to a given cumulant structure involves fewer restrictions than that corresponding to a given covariance structure. Two algorithms are derived for estimating the (possibly) nonminimum-phase MA coefficient matrices.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
Keywords
IdentifiabilityCumulantMathematicsCovarianceApplied mathematicsMoving averageClass (philosophy)GaussianStatisticsAlgorithmComputer scienceArtificial intelligence
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Publication Info
- Year
- 1989
- Type
- article
- Volume
- 34
- Issue
- 7
- Pages
- 783-787
- Citations
- 97
- Access
- Closed
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Cite This
Georgios B. Giannakis,
Yasushi Inouye,
Jerry M. Mendel
(1989).
Cumulant based identification of multichannel moving-average models.
IEEE Transactions on Automatic Control
, 34
(7)
, 783-787.
https://doi.org/10.1109/9.29415
Identifiers
- DOI
- 10.1109/9.29415