Identification of linear systems with noisy input using input-output cumulants

An identification method is presented for estimating the parameters of a discrete-time linear dynamic system excited by non-gaussian input signals using the fourth-order cumulants of the input and output signals, both of which are contaminated by additive gaussian noise. Two types of estimators of the fourth-order cumulants of the input and output signals are proposed for this method. The first is conventional. The second, which is new allows us only to have a recursive algorithm for computing the parameter estimators. The parameter estimators obtained by this algorithm are shown to be strongly consistent under certain weak conditions. Simulation examples are included to demonstrate the effectiveness of the proposed method.