Consistent estimation of autoregressive parameters from noisy observations based on two interacting Kalman filters

DOI10.1016/J.SIGPRO.2005.12.001zbMATH Open1172.94439OpenAlexW2128404709MaRDI QIDQ1031371FDOQ1031371

Authors: D. Labarre, E. Todini, Eric Grivel, Yannick Berthoumieu, Mohamed Najim 

Publication date: 29 October 2009

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2005.12.001

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zbMATH Keywords

instrumental variablesconsistent estimationKalman filtersAR parameters

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (11)

• Confidence estimation of autoregressive parameters based on noisy data
• Inverse filtering based method for estimation of noisy autoregressive signals
• Recursive identification of noisy autoregressive models via a noise-compensated overdetermined instrumental variable method
• Multichannel AR parameter estimation from noisy observations as an errors-in-variables issue
• Recursive Bayesian estimation of autoregressive model with uniform noise using approximation by parallelotopes
• Identification and validation of periodic autoregressive model with additive noise: finite-variance case
• On the parameters estimation of continuous-time ARMA processes from noisy observations
• Estimation of autoregressive fading channels based on two cross-coupled \(H_{\infty }\) filters
• Pole and noise variance estimation of an AR(1) model by means of nonlinear filtering
• Novel parameter estimation of autoregressive signals in the presence of noise
• A robust method for parameter estimation of AR systems using empirical mode decomposition

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