Identification of autoregressive signals in colored noise using damped sinusoidal model

摘要

This work addresses a new method for autoregressive (AR) parameter estimation from colored noise-corrupted observations using a damped sinusoidal model for the autocorrelation function of the noise-free signal. The damped sinusoidal model parameters are first estimated using a least-squares based method from the given noisy observations. The AR parameters are then directly obtained from the damped sinusoidal model parameters. The performance of the proposed scheme is evaluated using numerical examples.