Nonminimum phase system identification via cepstrum modeling of higher-order cumulants

A new computationally efficient identification procedure is proposed for a non-Gaussian white noise driven linear, time-invariant, non-minimum phase system. The method is based on the idea of computing the complex cepstrum of higher-order cumulants of the system output. In particular, the differential cepstrum parameters of the system\´s impulse response are computed directly from higher-order cumulants via least-squares solution. The method is flexible enough to reconstruct the minimum and maximum phase components of the impulse response of MA, AR or ARMA systems without any prior knowledge of the type of the system. It does not require model order selection criteria and is shown to provide estimates with small bias and variance even with "short" length data records.