This paper considers the problem of estimating the parameters of an autoregressive (AR) process in presence of additive white noise and proposes a new identification method, based on theoretical results originally developed in errors-in-variables contexts. This approach allows to estimate the AR parameters, the driving noise variance and the variance of the additive noise in a congruent way in that these estimates assure the positive definiteness of the autocorrelation matrix. The performance of the proposed algorithm is compared with that of bias-compensated least-squares methods by means fo Monte Carlo simulations. The results show the effectivenesss of the new method also in presence of high amounts of noise.

R. Diversi, U. Soverini, R. Guidorzi (2005). A new estimation approach for AR models in presence of noise. PRAGUE : International Federation of Automatic Control.

A new estimation approach for AR models in presence of noise

DIVERSI, ROBERTO;SOVERINI, UMBERTO;GUIDORZI, ROBERTO
2005

Abstract

This paper considers the problem of estimating the parameters of an autoregressive (AR) process in presence of additive white noise and proposes a new identification method, based on theoretical results originally developed in errors-in-variables contexts. This approach allows to estimate the AR parameters, the driving noise variance and the variance of the additive noise in a congruent way in that these estimates assure the positive definiteness of the autocorrelation matrix. The performance of the proposed algorithm is compared with that of bias-compensated least-squares methods by means fo Monte Carlo simulations. The results show the effectivenesss of the new method also in presence of high amounts of noise.
2005
Preprints of the 16th IFAC World Congress
R. Diversi, U. Soverini, R. Guidorzi (2005). A new estimation approach for AR models in presence of noise. PRAGUE : International Federation of Automatic Control.
R. Diversi; U. Soverini; R. Guidorzi
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/6442
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