Closed-form recursive estimation of MA coefficients using autocorrelations and third-order cumulants

Author

Swami, Ananthram ; Mendel, Jerry M.

Author_Institution

Dept. of Electr. Eng.-Syst., Univ. of Southern California, Los Angeles, CA, USA

Volume

37

Issue

11

fYear

1989

fDate

11/1/1989 12:00:00 AM

Firstpage

1794

Lastpage

1795

Abstract

The authors derive a simple, recursive, closed-form algorithm for estimating the parameters of a moving-average (MA) model of known order, using only the autocorrelation and the 1-D diagonal slice of the third-order cumulant of its response to excitation by an unobservable, non-Gaussian, IID process. The output may be corrupted by zero-mean, nonskewed white noise of unknown variance. The autoregressive moving-average (ARMA) case is briefly discussed

Keywords

parameter estimation; signal processing; spectral analysis; ARMA model; autocorrelation; autoregressive moving-average; closed-form algorithm; moving average coefficients; nonGaussian process; nonskewed white noise; parameter estimation; recursive estimation; third-order cumulant; Autocorrelation; Gaussian processes; Nonlinear equations; Parameter estimation; Random processes; Recursive estimation; Sea measurements; Signal processing algorithms; Transfer functions; White noise;

fLanguage

English

Journal_Title

Acoustics, Speech and Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

0096-3518

Type

jour

DOI

10.1109/29.46568

Filename

46568