DocumentCode
1489479
Title
On the noise-compensated Yule-Walker equations
Author
Davila, Carlos E.
Author_Institution
Dept. of Electr. Eng., Southern Methodist Univ., Dallas, TX, USA
Volume
49
Issue
6
fYear
2001
fDate
6/1/2001 12:00:00 AM
Firstpage
1119
Lastpage
1121
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
Keywords
autoregressive processes; correlation methods; matrix algebra; parameter estimation; random processes; white noise; AR parameters; AR(p) random process; additive white noise corrupted measurements; autocorrelation function; matrix pencil solution; measurement noise variance; necessary condition; noise-compensated Yule-Walker equations; parameter estimation; sufficient condition; Additive white noise; Autocorrelation; Helium; Noise measurement; Nonlinear equations; Parameter estimation; Polynomials; Random processes; Sufficient conditions; White noise;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.923293
Filename
923293
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