Prediction error method to estimate the ar parameters when the AR process is disturbed by a colored noise
Prediction error method to estimate the ar parameters when the AR process is disturbed by a colored noise
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DOI：
10.1109/icassp.2013.6638845
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发表时间：
2013-05
期刊：
影响因子：
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通讯作者：
R. Diversi;H. Ijima;É. Grivel
中科院分区：
文献类型：
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作者：
R. Diversi;H. Ijima;É. Grivel
过去几十年来，许多作者都致力于从噪声观测中估计自回归参数。尽管当加性噪声为白时已经提出了几种在线或离线方法，但很少有论文处理加性移动平均噪声。在本文中，我们建议使用预测误差方法来估计模型参数。尽管计算成本较高，但该方法具有在高斯情况下高效的优点。然后与现有方法进行比较研究，并指出我们的方法的效率，特别是在样本数量较少的情况下。
Estimating the autoregressive parameters from noisy observations has been addressed by various authors for the last decades. Although several on-line or off-line approaches have been proposed when the additive noise is white, few papers deal with the additive moving average noise. In this paper, we suggest estimating the model parameters by using the prediction error method. Despite its high computational cost, the method has the advantage of being efficient in the Gaussian case. A comparative study with existing methods is then carried out and points out the efficiency of our approach especially when the number of samples is small.