ARMA parameter estimation through enhanced double MA modelling

Abstract

This paper considers the application of ΜΛ cumulant enhancement to the identification of the parameters of a causal nonminimum phase ARMA(p, q) system which is excited by an unobservable independent identically distributed (IID) non-Gaussian process. The method proposed in this paper is based on the double MA method of [l]. The cumulant enhancement is used to improve the cumulante of the two intermediate MA models which result from the decomposition of the original ARMA(p, q) model. Simulation results are presented to demonstrate the effects of cumulant enhancement on the estimated ARMA parameters.