Maximum Likelihood estimation for non-minimum-phase noise transfer function with Gaussian mixture noise distribution

In this paper a Maximum Likelihood estimation algorithm for a linear dynamic system driven by an exogenous input signal, with non-minimum-phase noise transfer function and a Gaussian mixture noise is developed. We propose a flexible identification technique to estimate the system model parameters and the Gaussian mixture parameters based on the Expectation–Maximization algorithm. The benefits of our proposal are illustrated via numerical simulations.