Analytic performance evaluation of cumulant-based arma system identification methods

Abstract

The authors perform an analytic study of some cumulant-based methods for estimating the AR parameters of ARMA processes. The analysis includes new AR identifiability results for pure AR process and the analytic performance evaluation of system identification methods based on cumulants. The authors present examples of pure AR processes that are not identifiable via the normal equations based on the diagonal third-order cumulant slice. The results of the performance evaluation are illustrated graphically with plots of the variance of the estimates as a function of the parameters of the process.