Recursive scheme for ARMA coefficient and order estimation with noisy input-output data

A novel estimation scheme for determining ARMA orders and coefficients is p resented. The system is assumed to be excited by a non-Gaussian random sequ ence. Third-order cumulants of the input-output data are introduced to elim inate additive Gaussian noises of unknown variances at the measurement site . The proposed algorithm is performed order-recursively until the estimated coefficients converge where the defined norm of error squares (NES) nearly stays at a constant value. The system orders thereby need not be known a p riori. Theoretical analyses together with experimental results indicate tha t the system orders can be accurately determined with the same procedures w hile the corresponding system coefficients are being estimated.