Identification of Autoregressive Signals Observed in Noise

This paper presents an asymptotically unbissed estimator autoregressive parameters from noisy observations. The key ingredient in the present method in that a new and simple scheme for estimation of the variance of the white a measurement noie is developed. This estimated variance is then used in conjunction with the known technique for elimination of the least-squares estimation bias when the noise statistics are known a priori. The properties of the method are illustrated by means of some simulated examples.