Title :
Asymptotic analysis of an algorithm for identification of quantized AR time-series
Author :
Krishnamurthy, Vikram ; Poor, H. Vincent
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
Krishnamurthy and Mareels presented a parameter estimation algorithm called the binary series estimation algorithm (BSEA) for Gaussian auto-regressive (AR) time series given 1-bit quantized noisy measurements. The present authors carry out an asymptotic analysis of the BSEA for Gaussian AR models. In particular, from a central limit theorem they obtain expressions for the asymptotic covariances of the parameter estimates. From this they: (1) Present an algorithm for estimating the order of an AR series from one-bit quantized measurements. (2) Theoretically they justify why BSEA can yield better estimates than the Yule-Walker methods in some cases
Keywords :
Gaussian processes; autoregressive processes; covariance analysis; interference (signal); parameter estimation; quantisation (signal); signal processing; time series; Gaussian AR models; Gaussian auto-regressive time series; asymptotic analysis; asymptotic covariances; binary series estimation algorithm; central limit theorem; identification; one-bit quantized measurements; parameter estimate; parameter estimation algorithm; quantized AR time-series; Algorithm design and analysis; Computer simulation; Electric variables measurement; Gaussian noise; Noise measurement; Parameter estimation; Particle measurements; Time measurement; Time series analysis; Yield estimation;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1995. ICASSP-95., 1995 International Conference on
Conference_Location :
Detroit, MI
Print_ISBN :
0-7803-2431-5
DOI :
10.1109/ICASSP.1995.480673
