Cumulant-based order determination of non-Gaussian ARMA models

@article{Giannakis1990CumulantbasedOD,
  title={Cumulant-based order determination of non-Gaussian ARMA models},
  author={Georgios B. Giannakis and Jerry M. Mendel},
  journal={IEEE Trans. Acoustics, Speech, and Signal Processing},
  year={1990},
  volume={38},
  pages={1411-1423}
}
Higher than second-order cumulants can be used for order determination of non-Gaussian ARMA processes. The two methods developed assume knowledge of upper bounds on the ARMA orders. The first method performs a linear dependency search among the columns of a higher order statistics matrix, via the Gram-Schmidt orthogonalization procedure. In the second method, the order of the AR part is found as the rank of the matrix formed by the higher order statistics sequence. For numerically robust rank… CONTINUE READING
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