Identification of non-minimum phase linear stochastic systems
From MaRDI portal
This paper considers the problem of estimating the parameters of non- minimum phase non-Gaussian ARMA processes from measurements corrupted by Gaussian white noise. The solution proposed consists of two steps. The first step estimates the parameters of a spectrally equivalent minimum phase ARMA model of the signal, by using a standard prediction error method. This step provides estimates of the system poles. The second step determines the location of the (possibly non-minimum phase) system zeros by minimizing a least-squares criterion involving a set of sample fourth order cumulants of the observed process and the corresponding theoretical cumulants. This two-step procedure is shown to produce consistent estimates under some weak conditions. Its performance is illustrated by means of some simulation examples.
Recommendations
- Identification of nonminimum phase systems using higher order statistics
- Identification of linear stochastic systems via second- and fourth-order cumulant matching
- On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
- ARMA bispectrum approach to nonminimum phase system identification
- The complex cepstrum of higher order cumulants and nonminimum phase system identification
Cites work
- A new look at the statistical model identification
- Absolute value optimization to estimate phase properties of stochastic time series (Corresp.)
- Adaptive controllers for discrete-time systems with arbitrary zeros: an overview
- An Introduction to Polyspectra
- Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
- Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
- Convergence analysis of parametric identification methods
- Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
- Dynamic system identification. Experiment design and data analysis
- scientific article; zbMATH DE number 3875113 (Why is no real title available?)
- scientific article; zbMATH DE number 3755718 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
- scientific article; zbMATH DE number 3253529 (Why is no real title available?)
- scientific article; zbMATH DE number 3253530 (Why is no real title available?)
- scientific article; zbMATH DE number 3259552 (Why is no real title available?)
- Identifiability of nonminimum phase linear stochastic systems
- Inconsistency of the AIC rule for estimating the order of autoregressive models
- Maximum likelihood and prediction error methods
- Model approximations via prediction error identification
- Robust identification of a nonminimum phase system: Blind adjustment of a linear equalizer in data communications
- Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
- Zeros of sampled systems
Cited in
(33)- Identification of non-minimum phase transfer function using higher-order spectrum
- A new phase determination method for non-minimum phase MA systems
- Identification of non-minimum phase systems using evolutionary spectral theory
- Blind identification using the kurtosis with applications to field data
- Minimax identification of a nonlinear dynamic observation system
- Exact analysis for the identification of non-minimum phase processes
- Maximum likelihood estimation for non-minimum-phase noise transfer function with Gaussian mixture noise distribution
- Consistent order selection for noncausal autoregressive models via higher-order statistics
- Consistent parameter estimation for non-causal autoregressive models via higher-order statistics
- Fourier series based nonminimum phase model for statistical signal processing
- Higher-order spectrum factorization in one and two dimensions with applications in signal modeling and nonminimum phase system identification
- Single sample modal identification of a nonstationary stochastic process
- Identifiability of nonminimum phase linear stochastic systems
- On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
- Order reduction of SISO nonminimum-phase stochastic systems
- Fitting noncausal autoregressive signal plus noise models to noisy non-Gaussian linear processes
- Identification of linear stochastic systems via second- and fourth-order cumulant matching
- The complex cepstrum of higher order cumulants and nonminimum phase system identification
- ARMA bispectrum approach to nonminimum phase system identification
- Nonminimum phase non-Gaussian autoregressive processes.
- Identification of nonminimum phase systems using higher order statistics
- scientific article; zbMATH DE number 468886 (Why is no real title available?)
- Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
- Blind parametric identification of non-Gaussian FIR systems using higher order cumulants
- scientific article; zbMATH DE number 3992719 (Why is no real title available?)
- scientific article; zbMATH DE number 853743 (Why is no real title available?)
- A numerical investigation of direct and indirect closed-loop architectures for estimating nonminimum-phase zeros
- Blind identification of non-minimum phase ARMA systems
- Application of Minimum Distortion Filtering to Identification of Linear Systems Having Non-uniform Sampling Period
- Relay-Based Identification of a Class of Nonminimum Phase SISO Processes
- MINLIP for the identification of monotone Wiener systems
- Spectral estimation for mixed causal-noncausal autoregressive models
- On system identification for linear minimum variance prediction or control
This page was built for publication: Identification of non-minimum phase linear stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1084071)
