• DocumentCode
    3073918
  • Title

    Statistical analysis of least squares autoregressive estimation in the presence of noise

  • Author

    Stoica, P. ; Nehorai, A.

  • Author_Institution
    Institutul Polytehnic Bucuresti, Bucharest, Romania
  • fYear
    1986
  • fDate
    10-12 Dec. 1986
  • Firstpage
    297
  • Lastpage
    302
  • Abstract
    This paper analyses the asymptotic statistical properties of the least squares autoregressive (AR) estimator in the presence of noise. The asymptotic covariance of this estimator is derived for an AR signal with additive white or colored noise. The result is analysed in detail for first order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.
  • Keywords
    Additive noise; Colored noise; Covariance matrix; Equations; Fault detection; Fault diagnosis; Least squares approximation; Signal generators; Speech recognition; Statistical analysis;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1986 25th IEEE Conference on
  • Conference_Location
    Athens, Greece
  • Type

    conf

  • DOI
    10.1109/CDC.1986.267250
  • Filename
    4048759
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3073918