On the noise-compensated Yule-Walker equations
نویسندگان
چکیده
منابع مشابه
On the noise-compensated Yule-Walker equations
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. In this correspondence we give a necessary and sufficient condition for there to ex...
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The processing of noise-corrupted signals is a common problem in signal processing applications. In most of the cases, it is assumed that the additive noise is white Gaussian and that the constant noise variance is either available or can be easily measured. However, this may not be the case in practical situations. We present a new approach to additive white Gaussian noise variance estimation....
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A study is presented on solutions of the Yule-Walker equations for singular AR processes that are stationary outputs of a given AR system. If the Yule-Walker equations admit more than one solution and the order of the AR system is no less than two, the solution set includes solutions which define unstable AR systems. The solution set also includes one solution, the minimal norm solution, which ...
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The most commonly used method for estimating the time domain parameters of an autoregressive process is to use the Yule-Walker equations. The Yule-Walker estimates of the parameters of an autoregressive process are known to often be highly biased. There is a Fourier transform relationship between the autocovariance sequence for an autoregressive process (the estimates of which are used in the Y...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2001
ISSN: 1053-587X
DOI: 10.1109/78.923293