A unified approach to modeling multichannel ARMA processes
- 13 January 2003
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- No. 15206149,p. 2182-2185
- https://doi.org/10.1109/icassp.1989.266896
Abstract
Using a compact Kronecker-product-based representation for the cumulants of vector processes, the authors develop several techniques for estimating the parameters of a multichannel ARMA (autoregressive moving average) process, from sample cumulants of the output processes: (1) the AR parameters are estimated first; the MA parameters are then estimated from the AR compensated time series. (2) AR and IR (impulse response) parameters are estimated simultaneously; (3) an algorithm that handles causal as well as noncausal ARMA models, by transforming the ARMA parameter estimation problem to a pair of MA parameter estimation problems, is given. Order-determination techniques are also proposed. The algorithms are applicable to both stochastic and deterministic problems.<>Keywords
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