Abstract
The paper proposes a new approach to find an autoregressive moving average (ARMA) model order. The basic idea is to extend the previous approach proposed by Liang et al. to third order statistics (TOS). The algorithm uses data matrices rather than calculating cumulants of the observed signal. Hence, we avoid the non-stationary effects, which is due to finite-length observations. The system is driven by a zero-mean independent and identically distributed (i.i.d.) non-Gaussian process. The input signal is unobservable. The observed sequence is corrupted by a zero-mean additive Gaussian noise. Examples are given to demonstrate the performance of the proposed algorithm.
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