Fundamentals of statistical signal processing: estimation theory
Fundamentals of statistical signal processing: estimation theory
Introduction to statistical signal processing with applications
Introduction to statistical signal processing with applications
Adaptive filter theory (3rd ed.)
Adaptive filter theory (3rd ed.)
Introduction to matrix analysis (2nd ed.)
Introduction to matrix analysis (2nd ed.)
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This paper presents an iterative autoregressive system parameter estimation algorithm in the presence of white observation noise. The algorithm is based on the parameter estimation bias correction approach. We use high order Yule-Walker equations, sequentially estimate the noise variance, and exploit these estimated variances for the bias correction. The improved performance of the proposed algorithm in the presence of white noise is demonstrated via Monte Carlo experiments.