Application of median operation in robust estimation of AR model

A robust approach for estimation of an autoregressive model (with prespecified order) which avoids the data cleaning operation used in previous robust methods is presented. The algorithm is based on the Burg lattice structure, but reflection coefficients are estimated by selecting medians from the reflection coefficient sequences defined by the forward and backward prediction error residuals. It is shown that the algorithm can be derived under the weighted L₁ norm error criterion. Simulation results demonstrate that the method is more robust than the L₂ and L₁ norm methods