• DocumentCode
    1159166
  • Title

    Characterization of the LAD (L1) AR parameter estimator when applied to stationary ARMA, MA, and higher order AR processes

  • Author

    Olsen, Elwood T. ; Ruzinsky, Steven A.

  • Author_Institution
    Illinois Inst. of Technol., Chicago, IL, USA
  • Volume
    37
  • Issue
    9
  • fYear
    1989
  • fDate
    9/1/1989 12:00:00 AM
  • Firstpage
    1451
  • Lastpage
    1454
  • Abstract
    It is shown that least absolute deviation (LAD) autoregressive (AR) estimates converge to the parameters of an nth-order finite-impulse-response (FIR) filter which minimizes the expectation of the absolute value of the prediction error. Examples are presented in which these parameters are calculated and the efficiencies of the LAD estimates are determined from a Monte Carlo simulation. Applications to order selection and PARCOR parameter estimation are discussed
  • Keywords
    digital filters; filtering and prediction theory; ARMA; Monte Carlo simulation; PARCOR; autoregressive; digital filters; filter; finite-impulse-response; least absolute deviation; parameter estimator; Convergence; Equations; Finite impulse response filter; Least squares approximation; Mathematics; Parameter estimation; Probability density function; Random variables; Speech; Telecommunications;
  • fLanguage
    English
  • Journal_Title
    Acoustics, Speech and Signal Processing, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0096-3518
  • Type

    jour

  • DOI
    10.1109/29.31302
  • Filename
    31302
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1159166