Study of a least-squares-based algorithm for autoregressive signals subject to white noise
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Communication theory (94A05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
Summary: A simple algorithm is developed for unbiased parameter identification of autoregressive (AR) signals subject to white measurement noise. It is shown that the corrupting noise variance, which determines the bias in the standard least-squares (LS) parameter estimator, can be estimated by simply using the expected LS errors when the ratio between the driving noise variance and the corrupting noise variance is known or obtainable in some way. Then an LS-based algorithm is established via the principle of bias compensation. Compared with the other LS-based algorithms recently developed, the introduced algorithm requires fewer computations and has a simpler algorithmic structure. Moreover, it can produce better AR parameter estimates whenever a reasonable guess of the noise variance ratio is available.
- A least-squares based method for autoregressive signals in the presence of noise
- Autoregressive parameter estimation from noisy data
- Inverse filtering based method for estimation of noisy autoregressive signals
- Adaptive algorithm for noisy autoregressive signals
- Iterative estimation algorithm of autoregressive parameters
- Adaptive algorithm for noisy autoregressive signals
- Autoregressive parameter estimation from noisy data
- Unbiased LMS filtering in the presence of white measurement noise with unknown power
- A least-squares based method for autoregressive signals in the presence of noise
- Stochastic Analysis of the Signed LMS Algorithms for Cyclostationary White Gaussian Inputs
- Inverse filtering based method for estimation of noisy autoregressive signals
- Iterative estimation algorithm of autoregressive parameters
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