Title :
Performance contours of autoregressive estimates
Author :
Li, Shiping ; Dickinson, Bradley W.
Author_Institution :
Dept. of Electr. Eng., Texas A&M Univ., College Station, TX, USA
fDate :
4/1/1988 12:00:00 AM
Abstract :
Given a pth-order AR (autoregressive) process, the authors obtain an explicit formula that relates the true parameters and their estimates (or distorted versions) to the variance of the prediction error process. For a second-order AR model they determine contours within which the parameter estimates must lie, corresponding to a set of prediction error variance values. Conversely, for a given set of parameter estimates, they obtain contours within which the true parameters would lie, corresponding to a set of prediction error variance values. These results provide some interesting insights about AR modeling
Keywords :
estimation theory; signal processing; AR process; autoregressive estimates; parameter estimates; performance contours; prediction error; second-order AR model; signal processing parameter estimation; variance; Acoustic distortion; Acoustic signal processing; Gaussian processes; Least squares approximation; Parameter estimation; Predictive models; Speech processing; System identification; Writing;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on