Modeling of Non-Gaussian AR Model with Transient Coefficients Using Wavelet Basis

摘要

This paper focuses on the modeling of non-Gaussian autoregressive (AR) model for a wide range of physical signals. A practical algorithm based on higher-order cumulants is proposed to deal with the problem of estimating the non-Gaussian AR model with transient coefficients. Wavelet basis is used to identify the transient coefficients. The performance in terms of Haar and Morlet basis is evaluated with non-stationary processes. The experimental results show the flexibility of capturing the local events by using the presented model.