HOS-based orthogonal subspace algorithm for causal ARMA system identification.

DOI10.1016/S0165-1684(99)00150-4MaRDI QIDQ1978293zbMATH OpenFDO

Authors Yanyan Li

Publication date 4 June 2000

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1684(99)00150-4

zbMATH Keywords

ARMA system identificationCumulantsHigher-order statisticsOrthogonal subspace methods

Mathematics Subject Classification ID

System identification (93B30) Identification in stochastic control theory (93E12)

Review text

A new method, based on subspaces of a cumulant matrix, is proposed for the blind identification of an ARMA system which is driven by white non-Gaussian noise. The relationship between the cumulants and the impulse response is exploited to arrive at a relation between a cumulant matrix and a matrix consisting of impulse responses. This will lead to the formulation of a new algorithm for impulse response recovery and hence estimation of the ARMA parameters. The proposed method is shown to do well at low SNR values. When impulse response recovery is the key issue, it is shown to offer reduction in computational complexity.

Recommendations

• On the identifiability of non-Gaussian ARMA models using cumulants
• A least-squares-based algorithm for identification of non-Gaussian ARMA models
• Adaptive blind system identification using weighted cumulant slices
• Identifiability of general ARMA processes using linear cumulant-based estimators

Cited in

(1)

• Blind multivariable ARMA subspace identification

This page was built for publication: HOS-based orthogonal subspace algorithm for causal ARMA system identification.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978293)