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

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1989Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Acoustics, Speech, and Signal Processing, volume 37, pages 1,794-1,795 (issn: 0096-3518,

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Authors: Swami, A.; Mendel, J. M.;

doi: 10.1109/29.46568

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

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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. >

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