Parameter identifiability of multichannel ARMA models of linear non-Gaussian signals via cumulant matching

摘要

The problem of estimating the parameters of a vector, stationary, ARMA (p,q) signal model driven by an i.i.d. vector non-Gaussian sequence is considered. The focus of the paper is the problem of parameter identifiability of multichannel ARMA models given the higher order cumulants of the signal on a finite set of lags. The authors specify the finite lag set for general ARMA (p,q) models. The approach is to first derive the basic results via a diagonal canonical form and then to extend the parameter identifiability results to other (more parsimonious) canonical forms.