New results in system identification of FIR systems
A. G. Stogioglou, Stephen McLaughlin · 2002
This paper deals with the problem of estimating the parameters of a MA model from the third order cumulant statistics of the noisy observations of the system output. The system is driven by an independent and identically distributed skewed sequence that is not observed. The proposed method does not rely on second order statistics and so it is not affected by symmetrically distributed additive coloured noise. Both batch least squares and recursive methods are developed which utilise all the available third order statistics.>