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A subspace approach to estimation of autoregressive parameters from noisy measurements

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1 Author(s)
Davila, C.E. ; Dept. of Electr. Eng., Southern Methodist Univ., Dallas, TX, USA

This correspondence describes a method for estimating the parameters of an autoregressive (AR) process from a finite number of noisy measurements. The method uses a modified set of Yule-Walker (YW) equations that lead to a quadratic eigenvalue problem that, when solved, gives estimates of the AR parameters and the measurement noise variance

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Signal Processing, IEEE Transactions on  (Volume:46 ,  Issue: 2 )