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

DOI10.1109/TAC.1987.1104657MaRDI QIDQ3755339zbMATH OpenFDO

Authors Jitendra K. Tugnait

Publication date 1987

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

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)

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Cited in

(9)

• 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
• ARX modeling of unstable linear systems
• 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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