PARAMETER ESTIMATION OF MOVING AVERAGE PROCESSES USING CUMULANTS AND NONLINEAR OPTIMIZATION ALGORITHMS

M. Boulouird, M. M. Hassani, G. Favier

Abstract

In this paper nonlinear optimization algorithms, namely the Gradient descent and the Gauss-Newton algorithms, are proposed for blind identification of MA models. A relationship between third and fourth order cumulants of the noisy system output and the MA parameters is exploited to build a set of nonlinear equations that is solved by means of the two nonlinear optimization algorithms above cited. Simulation results are presented to compare the performance of the proposed algorithms.

References

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  12. Gauss-Newton algorithm - h(2)=0.6667 (True value of h(2)) 10 20 30 40 50 60
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Paper Citation


in Harvard Style

Boulouird M., M. Hassani M. and Favier G. (2005). PARAMETER ESTIMATION OF MOVING AVERAGE PROCESSES USING CUMULANTS AND NONLINEAR OPTIMIZATION ALGORITHMS . In Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 972-8865-31-7, pages 11-15. DOI: 10.5220/0001182900110015


in Bibtex Style

@conference{icinco05,
author={M. Boulouird and M. M. Hassani and G. Favier},
title={PARAMETER ESTIMATION OF MOVING AVERAGE PROCESSES USING CUMULANTS AND NONLINEAR OPTIMIZATION ALGORITHMS},
booktitle={Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2005},
pages={11-15},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001182900110015},
isbn={972-8865-31-7},
}


in EndNote Style

TY - CONF
JO - Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - PARAMETER ESTIMATION OF MOVING AVERAGE PROCESSES USING CUMULANTS AND NONLINEAR OPTIMIZATION ALGORITHMS
SN - 972-8865-31-7
AU - Boulouird M.
AU - M. Hassani M.
AU - Favier G.
PY - 2005
SP - 11
EP - 15
DO - 10.5220/0001182900110015