A new cumulant based parameter estimation method for noncausal autoregressive systems

摘要

Proposes a new nonlinear parameter estimation method for a noncausal autoregressive (AR) system based on a new quadratic equation relating the unknown AR parameters to higher order (/spl ges/3) cumulants of nonGaussian output measurements in the presence of additive Gaussian noise. A gradient-type numerical optimization algorithm is used to search for the optimal AR parameter estimates. It is applicable regardless of whether or not the order of the system is known in advance; it is also applicable for the case of the causal AR system. Some simulation results are offered to justify that the proposed method is effective.