Autoregressive parameter estimation from noisy data

Authors
Citation
Wx. Zheng, Autoregressive parameter estimation from noisy data, IEEE CIR-II, 47(1), 2000, pp. 71-75
Citations number
17
Categorie Soggetti
Eletrical & Eletronics Engineeing
Journal title
IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS II-ANALOG AND DIGITAL SIGNAL PROCESSING
ISSN journal
10577130 → ACNP
Volume
47
Issue
1
Year of publication
2000
Pages
71 - 75
Database
ISI
SICI code
1057-7130(200001)47:1<71:APEFND>2.0.ZU;2-L
Abstract
A least-squares based method for noisy autoregressive signals has been deve loped recently, which needs to neither prefilter noisy data nor perform par ameter extraction. In this brief, a more computationally efficient procedur e for estimating the measurement noise variance is developed, and then an e fficient implementation of the method is presented. It is shown that this b etter way of implementation can considerably reduce the computational requi rement of the least-squares based method without any performance degradatio n. Computer simulations that support the theoretical findings are given.