Identification of transfer function matrix using higher-order spectra

DOI10.1007/BF03167244zbMath0854.62089MaRDI QIDQ1922225

Masayuki Kumon

Publication date: 19 January 1997

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitylinear processasymptotic efficiencystrong consistencyinner-outer factorizationminimum phaseall-passAkaike's AIChigher-order cumulant spectral estimatesecond-order spectral estimateidentification of a parametric transfer function matrixIIC criterionstable transfer function matrixvector-valued stationary time series

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (2)

Statistical inference using higher-order information ⋮ Studies of information quantities and information geometry of higher order cumulant spaces

Cites Work

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• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Asymptotic properties of minimization estimators for time series parameters
• Identification of non-minimum phase transfer function using higher-order spectrum
• Linear processes and bispectra
• Limiting behavior of functionals of higher-order sample cumulant spectra
• A new look at the statistical model identification

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