Cumulant based identification of multichannel moving-average models

Georgios B. Giannakis; Yasushi Inouye; Jerry M. Mendel

doi:10.1109/9.29415

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

Affiliated Institutions

Related Publications

A unifying maximum-likelihood view of cumulant and polyspectral measures for non-Gaussian signal classification and estimation

Georgios B. Giannakis , M.K. Tsatsanis

Classification and estimation of non-Gaussian signals observed in additive Gaussian noise of unknown covariance are addressed using cumulants or polyspectra. By integrating idea...

1992 IEEE Transactions on Information Theory 96 citations

On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes

Georgios B. Giannakis , A. Swami

The authors address the problem of estimating the parameters of non-Gaussian ARMA (autoregressive moving-average) processes using only the cumulants of the noisy observation. Th...

1990 IEEE Transactions on Acoustics Speech... 95 citations

Asymptotically optimal estimation of MA and ARMA parameters of non-Gaussian processes from high-order moments

B. Friedlander , B. Porat

A description is given of an asymptotically-minimum-variance algorithm for estimating the MA (moving-average) and ARMA (autoregressive moving-average) parameters of non-Gaussian...

1990 IEEE Transactions on Automatic Control 131 citations

Cumulant series expansion of hybrid nonlinear moments of complex random variables

Gaetano Scarano

A general theorem for zero-memory nonlinear transformations of complex stochastic processes is presented. It is shown that, under general conditions, the cross covariance betwee...

1991 IEEE Transactions on Signal Processing 31 citations

Direction finding algorithms based on high-order statistics

B. Porat , B. Friedlander

Two direction finding algorithms are presented for nonGaussian signals, which are based on the fourth-order cumulants of the data received by the array. The first algorithm is s...

1991 IEEE Transactions on Signal Processing 297 citations

Publication Info

Year: 1989
Type: article
Volume: 34
Issue: 7
Pages: 783-787
Citations: 97
Access: Closed

External Links

View on DOI.org

Social Impact

Altmetric

Cumulant based identification of multichannel moving-average models

PlumX Metrics

Social media, news, blog, policy document mentions

Citation Metrics

OpenAlex

Cite This

APA Style

                            
                                    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