Abstract
AbstractAutoregressive (AR) system identification with only output measurements is a well‐known problem in various science and engineering areas such as spectral estimation and speech processing. This paper addresses the problem of estimating the coefficients of an AR model from third‐order cumulants of the noisy observations of the system output. The system is driven by a zero‐mean independent and identically distributed (i.i.d) non‐Gaussian sequence. The input sequence is not observed. Simulation results are presented that demonstrate the performance of the new approach and compare it with a recently developed technique. Copyright © 2001 John Wiley & Sons, Ltd.
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