A new coefficient estimation method for autoregressive systems using cumulants

DOI10.1002/CTA.166zbMath1047.62074OpenAlexW2000878933MaRDI QIDQ4803293

Adnan M. Al-Smadi

Publication date: 2 April 2003

Published in: International Journal of Circuit Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cta.166

zbMATH Keywords

cumulantsautoregressive system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• Fitting noncausal autoregressive signal plus noise models to noisy non-Gaussian linear processes
• On Finite Sample Theory for Autoregressive Model Order Selection
• Singular value decomposition-based MA order determination of non-Gaussian ARMA models
• A robust recursive technique for pole-zero system model order estimation

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