Fitting noncausal autoregressive signal plus noise models to noisy non-Gaussian linear processes

DOI10.1109/TAC.1987.1104657zbMATH Open0618.93065MaRDI QIDQ3755339FDOQ3755339

Authors: Jitendra K. Tugnait 

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

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zbMATH Keywords

parameter estimationspectral factorizationcumulant matchingunstable AR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited In (8)

• Consistent order selection for noncausal autoregressive models via higher-order statistics
• A new coefficient estimation method for autoregressive systems using cumulants
• Analysis of identified 2-D noncausal models
• Consistent parameter estimation for non-causal autoregressive models via higher-order statistics
• Adaptive estimation in noncausal stationary AR processes
• Parameter estimation and GLRT detection in colored non-Gaussian autoregressive processes
• Subspace-based parameter estimation of symmetric noncausal autoregressive signals from noisy measurements
• Identifiability of general ARMA processes using linear cumulant-based estimators

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