Iterative Estimation Algorithm of Autoregressive Parameters

摘要

This paper presents an iterative autoregressive system parameter estimation algorithm in the presence of white observation noise. The algorithm is based on the parameter estimation bias correction approach. We use high order Yule-Walker equations, sequentially estimate the noise variance, and exploit these estimated variances for the bias correction. The improved performance of the proposed algorithm in the presence of white noise is demonstrated via Monte Carlo experiments.