Unified approach to modeling multichannel ARMA processes

Ananthram Swami, G. B. Giannakis, Jerry M. Mendel

Research output: Contribution to journalConference articlepeer-review

18 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)2182-2185
Number of pages4
JournalICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume4
StatePublished - Dec 1 1989
Event1989 International Conference on Acoustics, Speech, and Signal Processing - Glasgow, Scotland
Duration: May 23 1989May 26 1989

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