DocumentCode :
1351861
Title :
Adaptive pole estimation
Author :
Nehorai, Arye ; Starer, David
Author_Institution :
Dept. of Electr. Eng., Yale Univ., New Haven, CT, USA
Volume :
38
Issue :
5
fYear :
1990
fDate :
5/1/1990 12:00:00 AM
Firstpage :
825
Lastpage :
838
Abstract :
AN adaptive algorithm is developed for online estimation of the poles of autoregressive (AR) processes. The method estimates the poles directly from the data without intermediate estimation of the AR coefficients or polynomial factorization. It converges rapidly, is computationally efficient, and attains the Cramer-Rao bound (CRB) asymptotically. A closed-form expression for the asymptotic CRB is provided. Convergence to the true solution is proved, and methods are discussed for extending the algorithm for use with more general (e.g. autoregressive moving-average) models. Numerical examples are presented to demonstrate the performance of the algorithm
Keywords :
adaptive systems; convergence of numerical methods; filtering and prediction theory; matrix algebra; parameter estimation; poles and zeros; signal processing; statistical analysis; AR coefficients; ARMA models; Cramer-Rao bound; adaptive algorithm; autoregressive moving-average; autoregressive processes; closed-form expression; online estimation; pole estimation; prediction error; Adaptive algorithm; Closed-form solution; Least squares approximation; Polynomials; Recursive estimation; Robustness; Sensor arrays; Signal processing; Speech; Transfer functions;
fLanguage :
English
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
0096-3518
Type :
jour
DOI :
10.1109/29.56028
Filename :
56028
Link To Document :
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