MA parameter estimation and cumulant enhancement
A. G. Stogioglou, Stephen McLaughlin · IEEE Transactions on Signal Processing · 1996
This paper addresses the problem of estimating the parameters of a moving average (MA) model from either only third- or fourth-order cumulants of the noisy observations of the system output. The system is driven by an independent and identically distributed non-Gaussian sequence that is not observed. The unknown model parameters are obtained using a batch least squares method. Recursive methods are also developed and used to claim the uniqueness of the batch least squares solutions. A novel technique for the enhancement of third-order cumulants of MA processes is introduced. This new technique is based on the concept of composite property mappings and helps reduce the variance of the estimates of third- (or fourth)-order cumulants of MA processes. Simulation results are presented that demonstrate the performance of the new methods and compare them with a range of existing techniques.