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Decomposition and recovery on MA superposition process using ICA

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  • Received:2007-09-18 Revised:2007-11-07 Online:2008-03-01 Published:2008-03-01
  • Contact: Yu-Jie Zhang

基于ICA的滑动平均序列叠加过程的分解与复原

祁锐 张玉洁 李宏伟   

  1. 海军工程大学理学院 中国地质大学数理学院 中国地质大学数理学院
  • 通讯作者: 张玉洁

Abstract: Decomposition and recovery on Moving Average (MA) superposition process contained in multivariable time series were researched in this paper. Firstly, because of the independence of the high-order statistical information, the mixtures were separated by searching a reversible matrix with the Independent Component Analysis (ICA) algorithm-fixed point algorithm. Then an adaptive method was designed to identify MA model based on higher-order cumulant. In every iteration, it estimated the order and the parameters of MA. Finally, the effectiveness of the algorithm was verified by the computer simulation.

Key words: Independent Component Analysis (ICA), higher-order cumulant, Moving Average (MA) model

摘要: 研究由若干个滑动平均(MA)信号序列叠加形成的多道时间序列的分解与复原问题。 首先从信号的独立性出发,利用信号的高阶统计信息,采用独立成分分析(ICA)中的固定点(Fixed Point)算法将混合信号进行分离,然后设计了一种基于高阶统计量的MA模型的自适应辨识算法,算法在每次迭代中先估计MA的阶数,再估计MA的参数,由选用的线性方程组保证了参数的唯一可辨识性。最后通过模拟实验验证了该方法的有效性。

关键词: 独立成分分析, 高阶累积量, 滑动平均模型