A SUBSPACE APPROACH TO ESTIMATION OF AUTOREGRESSIVE PARAMETERS FROM NOISY MEASUREMENTS

Authors
DAVILA CE
Citation
Ce. Davila, A SUBSPACE APPROACH TO ESTIMATION OF AUTOREGRESSIVE PARAMETERS FROM NOISY MEASUREMENTS, IEEE transactions on signal processing, 46(2), 1998, pp. 531-534
Citations number
17
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
IEEE transactions on signal processing → ACNP
ISSN journal
1053587X
Volume
46
Issue
2
Year of publication
1998
Pages
531 - 534
Database
ISI
SICI code
1053-587X(1998)46:2<531:ASATEO>2.0.ZU;2-7
Abstract
This correspondence describes a method for estimating the parameters o f an autoregressive (AR) process from a finite number of noisy measure ments, The method uses a modified set of Yule-Walker (YW) equations th at lead to a quadratic eigenvalue problem that, when solved, gives est imates of the AR parameters and the measurement noise variance.