Inverse filtering based method for estimation of noisy autoregressive signals


In this paper we present a new method for estimating the parameters of an autoregressive (AR) signal from observations corrupted with white noise. The leastsquares (LS) estimate of the AR parameters is biased when the observation noise is added to the AR signal. This bias is related to observation noise variance. The proposed method uses inverse filtering… (More)
DOI: 10.1016/j.sigpro.2011.01.008


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