Parameter Estimation of Multivariate ARMA Processes Using Cumulants (Special Section on Signal Processing and System Theory)

スポンサーリンク

概要

• 論文の詳細を見る

• This paper addresses the problem of estimating the parameters of multivariate ARMA processes by using higher-order statistics called cumulants. The main objective in this paper is to extend the idea of the q-slice algorithm in univariate ARMA processes to multivariate ARMA processes. It is shown for a multivariate ARMA process that the MA coefficient matrices can be estimated up to postmultiplication of a permutation matrix by using the third-order cumulants and of an extended permutation matrix by using the fourth-order cumulants. Simulation examples are included to demonstrate the effectiveness of the proposed method.

• 一般社団法人電子情報通信学会の論文
• 1994-05-25

著者

• Inouye Yujiro

  Faculty Of Engineering Osaka University

• Umeda T

  Kyoto Inst. Technol. Kyoto‐shi Jpn

• Umeda Toyohiro

  Electronics Research Laboratory, Kobe Steel, Ltd.

関連論文

• Parameter Estimation of Multivariate ARMA Processes Using Cumulants (Special Section on Signal Processing and System Theory)

スポンサーリンク