Identification of nonminimum phase linear stochastic systems

  title={Identification of nonminimum phase linear stochastic systems},
  author={Jitendra K. Tugnait},
  journal={The 23rd IEEE Conference on Decision and Control},
We consider the identification of time-invariant, nonminimum phase, stochastic systems driven by non-Gaussian white noise, given only the noisy observations of the system output. A two-step procedure is proposed. In the first step a spectrally equivalent minimum phase (SEMP) system is estimated using a standard technique that exploits only the second order statistics of the measurements. In the second step partial, 4th order cumulants of the measurements are exploited to resolve the location of… CONTINUE READING

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