Fast communication: Inverse filtering based method for estimation of noisy autoregressive signals

Authors:
Alimorad Mahmoudi;Mahmood Karimi
Affiliations:
Electrical Engineering Department, Shahid Chamran University of Ahvaz, Khouzestan, Iran;School of Electrical and Computer Engineering, Shiraz University, Iran
Venue:
Signal Processing
Year:
2011

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Abstract

In this paper we present a new method for estimating the parameters of an autoregressive (AR) signal from observations corrupted with white noise. The least-squares (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 technique and Yule-Walker equations for estimating observation noise variance to yield unbiased LS estimate of the AR parameters. The performance of the proposed unbiased algorithm is illustrated by simulation results and they show that the performance of the proposed method is better than the other estimation methods.