Identification and estimation of non-Gaussian ARMA processes

DOI10.1109/29.57555MaRDI QIDQ3200969zbMATH OpenOpenAlexFDO

Authors Keh-Shin Lii

Publication date 1990

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/29.57555

zbMATH Keywords

additive Gaussian noisebispectral analysisFinite parameter models of ARMA typemodel identificationnon-Gaussian modelPade approximationparameter estimation

Mathematics Subject Classification ID

Padé approximation (41A21) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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(11)

• ARMA modeling of fourth-order cumulants and phase estimation
• Identifiability of general ARMA processes using linear cumulant-based estimators
• Identification of continuous-time AR processes from unevenly sampled data
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Fitting ARMA models to linear non-Gaussian processes using higher order statistics.
• On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
• On the identifiability of non-Gaussian ARMA models using cumulants
• A unifying maximum-likelihood view of cumulant and polyspectral measures for non-Gaussian signal classification and estimation
• scientific article; zbMATH DE number 1474896 (Why is no real title available?)
• Suboptimal identification of nonlinear ARMA models using an orthogonality approach
• Multiscale statistical signal processing: identification of a multiscale AR process from a sample of an ordinary signal

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