On the noise-compensated Yule-Walker equations

Authors:
C.E. Davila
Affiliations:
Dept. of Electr. Eng., Southern Methodist Univ., Dallas, TX
Venue:
IEEE Transactions on Signal Processing
Year:
2001

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Consistent estimation of autoregressive parameters from noisy observations based on two interacting Kalman filters

Signal Processing - Fractional calculus applications in signals and systems

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Abstract

Recently, a method of estimating the parameters of an AR(p) random process based on measurements corrupted by additive white noise was described. The method involves solving a matrix pencil, called the noise-compensated Yule-Walker (NCYW) equations, for the AR parameters and the variance of the measurement noise. We give a necessary and sufficient condition for there to exist a unique solution to the NCYW equations