Parameter estimation of multichannel autoregressive processes in noise

Authors:
Md. Kamrul Hasan;Md. Jahangir Hossain;Md. Aynal Haque
Affiliations:
Department of Electrical and Electronic Engineering, Bangladesh University of Engineering and Technology, Dhaka 1000, Bangladesh;Department of Electrical and Electronic Engineering, Bangladesh University of Engineering and Technology, Dhaka 1000, Bangladesh;Department of Electrical and Electronic Engineering, Bangladesh University of Engineering and Technology, Dhaka 1000, Bangladesh
Venue:
Signal Processing
Year:
2003

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Abstract

We present a new multichannel autoregressive parameter estimation method using a finite set of noisy observations without a priori knowledge of additive noise power. The proposed method is based on soving alternatively a set of nonlinear and a set of linear equations. The Newton-Raphson iteration algorithm is used to estimate the unknown noise variances solving the nonlinear equations while the unknown AR parameter matrices are estimated solving the noise-compensated Yule-Walker equations linearly. Computer simulation results are presented to evaluate the performance of the proposed method.