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Recursive maximum likelihood estimation of autoregressive processes

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1 Author(s)
Kay, S.M. ; University of Rhode Island, Kingston, RI, USA

A new method of autoregressive parameter estimation is presented. The technique is a closer approximation to the true maximum likelihood estimator than that obtained using linear prediction techniques. The advantage of the new algorithm is mainly for short data records and/or sharply peaked spectra. Simulation results indicate that the parameter bias as well as the variance is reduced over the Yule-Walker and the forward-backward approaches of linear prediction. Also, spectral estimates exhibit more resolution and less spurious peaks. A stable all-pole filter estimate is guaranteed. The algorithm operates in a recursive model order fashion, which allows one to successively fit higher order models to the data.

Published in:

Acoustics, Speech and Signal Processing, IEEE Transactions on  (Volume:31 ,  Issue: 1 )

Date of Publication:

Feb 1983

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