A new cumulant based parameter estimation method for noncausal autoregressive systems

Abstract

In this paper, 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 non-Gaussian output measurements in the presence of additive Gaussian noise, is described. It is applicable no matter whether or not the order of the system is known in advance; it is also applicable for the case of causal AR system. Some simulation results are offered to justify that the proposed method is effective.<>