Extension of the matrix bartlett's formula to the third order and to noisy models

This paper focuses on the extension of the asymptotic covariance of the sample covariance (denoted Bartlett's formula) of linear processes to third-order sample cumulant and to noisy linear processes. Thanks to a matrix polyspectral representation, closed-form expressions of the asymptotic cova...

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Published in2002 IEEE International Conference on Acoustics, Speech, and Signal Processing Vol. 2; pp. II-1485 - II-1488
Main Authors Delmas, Jean-Pierre, Loufti, Mhammed
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.05.2002
Subjects
Colored noise
Noise measurement
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ISBN9780780374027
0780374029
ISSN1520-6149
DOI10.1109/ICASSP.2002.5744894

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Summary:This paper focuses on the extension of the asymptotic covariance of the sample covariance (denoted Bartlett's formula) of linear processes to third-order sample cumulant and to noisy linear processes. Thanks to a matrix polyspectral representation, closed-form expressions of the asymptotic covariance and cross covariance of the sample second and third moments are derived in a straightforward manner. As an application of these extended formulae, we enhance the sensitivity of the asymptotic performance of estimated ARMA parameters by an arbitrary third order-based algorithm to the spectrum of colored additive noise.
ISBN:9780780374027
0780374029
ISSN:1520-6149
DOI:10.1109/ICASSP.2002.5744894