Performance analysis of MA parameter estimation algorithms based on high-order moments

Abstract

Results are presented concerning the performance of moving-average (MA) estimation algorithms based on high-order moments. A general lower bound is presented for the variance of estimates based on high-order sample moments. Then, an expression is given for the variance of weighted least-squares estimates, of the type recently reported in the literature. The existence of an optimal-weight matrix for such estimates is exhibited. The analytic results are verified by Monte-Carlo simulations for some specific test cases.<>