Identification of certain noisy MA models: New results

In this paper, we address the identification problem of p-inputs q-outputs MA models, corrupted by a white noise with unknown covariance matrix, in the case where p < q. Under certain additional conditions, we show that the generating function of the MA model is identifiable (up to a p x p constant orthogonal matrix) from the autocovariance function of the observation. Our results extend those already obtained in Desbouvries et al. [5] and Desbouvries and Loubaton [6].