The Frisch scheme in dynamic system identification
Automatica (Journal of IFAC) - Identification and system parameter estimation
New cumulant-based approaches for non-Gaussian time-varying AR models
Signal Processing
Block-Based TVAR Models for Single-Channel Blind Dereverberation of Speech from a Moving Speaker
SSP '07 Proceedings of the 2007 IEEE/SP 14th Workshop on Statistical Signal Processing
Adaptive time-frequency analysis based on autoregressive modeling
Signal Processing
Time-Varying Autoregressive (TVAR) Models for Multiple Radar Observations
IEEE Transactions on Signal Processing
IEEE Transactions on Signal Processing
A subspace approach to estimation of autoregressive parameters fromnoisy measurements
IEEE Transactions on Signal Processing
Monte Carlo smoothing with application to audio signal enhancement
IEEE Transactions on Signal Processing
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A great deal of interest has been paid to autoregressive parameter estimation in the noise-free case or when the observation data are disturbed by random noise. Tracking time-varying autoregressive (TVAR) parameters has been also discussed, but few papers deal with this issue when there is an additive zero-mean white Gaussian measurement noise. In this paper, one considers deterministic regression methods (or evolutive methods) where the TVAR parameters are assumed to be weighted combinations of basis functions. However, the additive white measurement noise leads to a weight-estimation bias when standard least squares methods are used. Therefore, we propose two alternative blind off-line methods that allow both the variance of the additive noise and the weights to be estimated. The first one is based on the errors-in-variable issue whereas the second consists in viewing the estimation issue as a generalized eigenvalue problem. A comparative study with other existing methods confirms the effectiveness of the proposed methods.