A Least-Squares-Based Algorithm for Identification of Non-Gaussian ARMA Models

Abstract

A new recursive method for estimating the parameters of autoregressive moving average (ARMA) models is presented in this paper. The recursive linear identification method is developed using higher-order statistics of the observed output data and is based on a least-squares solution. Namely, a matrix consisting of third-order statistics (or cumulants) of the observed output data is constructed so that it almost possesses a full rank structure. The signal is embedded in a Gaussian noise that may be colored. The system is driven by a zero-mean independent and identically distributed non-Gaussian process. The excitation signal is unobserved. Simulation results are given to illustrate the performance of the proposed algorithm with respect to existing well-known methods.