A new approach for estimating multichannel AR (M-AR) models from noisy observations is proposed. It relies on the so-called Frisch scheme, whose rationale consists in finding the solution of the identification problem within a locus of solutions compatible with the second order statistics of the noisy data. Once that the locus of solutions has been defined, it is necessary to introduce a suitable selection criterion in order to identify a single solution. The criterion proposed in the paper is based on the comparison of the theoretical statistical properties of the residual of the noisy M-AR model with those computed from the data. The results obtained by means of Monte Carlo simulations show that the proposed algorithm outperforms some existing methods.

Identification of multichannel AR models with additive noise: A Frisch scheme approach

Diversi, Roberto
2018

Abstract

A new approach for estimating multichannel AR (M-AR) models from noisy observations is proposed. It relies on the so-called Frisch scheme, whose rationale consists in finding the solution of the identification problem within a locus of solutions compatible with the second order statistics of the noisy data. Once that the locus of solutions has been defined, it is necessary to introduce a suitable selection criterion in order to identify a single solution. The criterion proposed in the paper is based on the comparison of the theoretical statistical properties of the residual of the noisy M-AR model with those computed from the data. The results obtained by means of Monte Carlo simulations show that the proposed algorithm outperforms some existing methods.
European Signal Processing Conference
1252
1256
Diversi, Roberto*
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/668711
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