Adaptive algorithm for noisy autoregressive signals

Wei Xing Zheng

Mathematical Problems in Engineering, 2001, vol. 6, 1-14

Abstract:

This paper presents a new type of improved least-squares (ILS) algorithm for adaptive parameter estimation of autoregressive (AR) signals from noisy observations. Unlike the previous ILS based methods, the developed algorithm can give consistent parameter estimates in a very direct manner that it does not involve dealing with an augmented noisy AR model. The new algorithm is demonstrated to outperform the previous ILS based methods in terms of its improved numerical efficiency.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:974374

DOI: 10.1155/S1024123X00001472

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