Parameter estimation of autoregressive signals in presence of colored AR(1) noise as a quadratic eigenvalue problem

被引：26

作者：

Mahmoudi, Alimorad ^{[1
]}

Karimi, Mahmood ^{[2
]}

Amindavar, Hamidreza ^{[3
]}

机构：

[1] Shahid Chamran Univ, Dept Elect Engn, Ahvaz, Iran

[2] Shiraz Univ, Sch Elect & Comp Engn, Shiraz, Iran

[3] Amirkabir Univ Technol, Sch Elect & Comp Engn, Tehran, Iran

来源：

SIGNAL PROCESSING | 2012年 / 92卷 / 04期

关键词：

Noisy autoregressive model; Colored noise; Yule-Walker equations; Eigenvalue problem; IDENTIFICATION; SYSTEMS;

D O I：

10.1016/j.sigpro.2011.11.015

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

In this paper, we consider the problem of parameter estimation of autoregressive (AR) signals from observations corrupted with colored AR(1) noise. The proposed method is based on Yule-Walker equations. We express these equations as a quadratic eigenvalue problem and then the parameters of the signal and noise are estimated by solving this eigenvalue problem. We also apply the proposed method to the problem of sinusoidal frequency estimation in colored noise. The performance of the proposed algorithm is evaluated by computer simulation examples. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1151 / 1156

页数：6

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