Title :
Statistical analysis of least squares autoregressive estimation in the presence of noise
Author :
Stoica, P. ; Nehorai, A.
Author_Institution :
Institutul Polytehnic Bucuresti, Bucharest, Romania
Abstract :
This paper analyses the asymptotic statistical properties of the least squares autoregressive (AR) estimator in the presence of noise. The asymptotic covariance of this estimator is derived for an AR signal with additive white or colored noise. The result is analysed in detail for first order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.
Keywords :
Additive noise; Colored noise; Covariance matrix; Equations; Fault detection; Fault diagnosis; Least squares approximation; Signal generators; Speech recognition; Statistical analysis;
Conference_Titel :
Decision and Control, 1986 25th IEEE Conference on
Conference_Location :
Athens, Greece
DOI :
10.1109/CDC.1986.267250
