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Estimation of Autoregressive Parameters from Noisy Observations Using Iterated Covariance Updates

Estimating the parameters of the autoregressive (AR) random process is a problem that has been well-studied. In many applications, only noisy measurements of AR process are available. The effect of the additive noise is that the system can be modeled as an AR model with colored noise, even when the...

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Detalhes bibliográficos
Publicado no:Entropy (Basel)
Main Authors: Moon, Todd K., Gunther, Jacob H.
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI 2020
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC7517090/
https://ncbi.nlm.nih.gov/pubmed/33286345
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e22050572
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