Cumulant-based autocorrelation estimates of non-Gaussian linear processes

被引：3

作者：

Giannakis, GB

Delopoulos, A

机构：

[1] Department of Electrical Engineering, University of Virginia, Charlottesville

[2] Department of Electrical Engineering, National Technical University of Athens, Zografou

来源：

SIGNAL PROCESSING | 1995年 / 47卷 / 01期

关键词：

non-Gaussian time series; autocorrelation estimation; cumulants; consistency; asymptotic covariance;

D O I：

10.1016/0165-1684(95)00095-X

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Autocorrelation of linear random processes can be expressed in terms of their cumulants. Theoretical insensitivity of the latter to additive Gaussian noise of unknown covariance, is exploited in this paper to develop (within a scale) autocorrelation estimators of linear non-Gaussian time series using cumulants of order higher than two. Windowed projections of third-order cumulants are shown to yield strongly consistent estimators of the autocorrelation sequence. Both batch and recursive algorithms are derived. Asymptotic variance expressions of the proposed estimators are also presented. Simulations are provided to illustrate the performance of the proposed algorithms and compare them with conventional approaches.

引用

页码：1 / 17

页数：17

共 28 条

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