Abstract:
The authors derive a simple, recursive, closed-form algorithm for estimating the parameters of a moving-average (MA) model of known order, using only the autocorrelation ...Show MoreMetadata
Abstract:
The authors derive a simple, recursive, closed-form algorithm for estimating the parameters of a moving-average (MA) model of known order, using only the autocorrelation and the 1-D diagonal slice of the third-order cumulant of its response to excitation by an unobservable, non-Gaussian, IID process. The output may be corrupted by zero-mean, nonskewed white noise of unknown variance. The autoregressive moving-average (ARMA) case is briefly discussed.<>
Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing ( Volume: 37, Issue: 11, November 1989)
DOI: 10.1109/29.46568