Parameter Estimation of Multivariate ARMA Processes Using Cumulants
Summary :
This paper addresses the problem of estimating the parameters of multivariate ARMA processes by using higher-order statistics called cumulants. The main objective in this paper is to extend the idea of the q-slice algorithm in univariate ARMA processes to multivariate ARMA processes. It is shown for a multivariate ARMA process that the MA coefficient matrices can be estimated up to postmultiplication of a permutation matrix by using the third-order cumulants and of an extended permutation matrix by using the fourth-order cumulants. Simulation examples are included to demonstrate the effectiveness of the proposed method.
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- IEICE TRANSACTIONS on Fundamentals Vol.E77-A No.5 pp.748-759
- Publication Date
- 1994/05/25
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- Special Section INVITED PAPER (Special Section on Signal Processing and System Theory)
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Yujiro INOUYE, Toyohiro UMEDA, "Parameter Estimation of Multivariate ARMA Processes Using Cumulants" in IEICE TRANSACTIONS on Fundamentals,
vol. E77-A, no. 5, pp. 748-759, May 1994, doi: .
Abstract: This paper addresses the problem of estimating the parameters of multivariate ARMA processes by using higher-order statistics called cumulants. The main objective in this paper is to extend the idea of the q-slice algorithm in univariate ARMA processes to multivariate ARMA processes. It is shown for a multivariate ARMA process that the MA coefficient matrices can be estimated up to postmultiplication of a permutation matrix by using the third-order cumulants and of an extended permutation matrix by using the fourth-order cumulants. Simulation examples are included to demonstrate the effectiveness of the proposed method.
URL: https://global.ieice.org/en_transactions/fundamentals/10.1587/e77-a_5_748/_p
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@ARTICLE{e77-a_5_748,
author={Yujiro INOUYE, Toyohiro UMEDA, },
journal={IEICE TRANSACTIONS on Fundamentals},
title={Parameter Estimation of Multivariate ARMA Processes Using Cumulants},
year={1994},
volume={E77-A},
number={5},
pages={748-759},
abstract={This paper addresses the problem of estimating the parameters of multivariate ARMA processes by using higher-order statistics called cumulants. The main objective in this paper is to extend the idea of the q-slice algorithm in univariate ARMA processes to multivariate ARMA processes. It is shown for a multivariate ARMA process that the MA coefficient matrices can be estimated up to postmultiplication of a permutation matrix by using the third-order cumulants and of an extended permutation matrix by using the fourth-order cumulants. Simulation examples are included to demonstrate the effectiveness of the proposed method.},
keywords={},
doi={},
ISSN={},
month={May},}
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TY - JOUR
TI - Parameter Estimation of Multivariate ARMA Processes Using Cumulants
T2 - IEICE TRANSACTIONS on Fundamentals
SP - 748
EP - 759
AU - Yujiro INOUYE
AU - Toyohiro UMEDA
PY - 1994
DO -
JO - IEICE TRANSACTIONS on Fundamentals
SN -
VL - E77-A
IS - 5
JA - IEICE TRANSACTIONS on Fundamentals
Y1 - May 1994
AB - This paper addresses the problem of estimating the parameters of multivariate ARMA processes by using higher-order statistics called cumulants. The main objective in this paper is to extend the idea of the q-slice algorithm in univariate ARMA processes to multivariate ARMA processes. It is shown for a multivariate ARMA process that the MA coefficient matrices can be estimated up to postmultiplication of a permutation matrix by using the third-order cumulants and of an extended permutation matrix by using the fourth-order cumulants. Simulation examples are included to demonstrate the effectiveness of the proposed method.
ER -
English
