Iterative approach to estimate the parameters of a TVAR process corrupted by a MA noise

A great deal of interest has been paid to the time-varying autoregressive (TVAR) parameter tracking, but few papers deal with this issue when noisy observations are available. Recently, this problem was addressed for a TVAR process disturbed by an additive zero-mean white noise, by using deterministic regression methods. In this paper, we focus our attention on the case of an additive colored measurement noise modeled by a moving average process. More particularly, we propose to estimate the TVAR parameters by using a variant of the improved least-squares (ILS) methods, initially introduced by Zheng to estimate the AR parameters from a signal embedded in a white noise. Simulation studies illustrate the advantages and the limits of the approach.