Consistent estimation of autoregressive parameters from noisy observations based on two interacting Kalman filters

DOI10.1016/J.SIGPRO.2005.12.001zbMath1172.94439OpenAlexW2128404709MaRDI QIDQ1031371

D. Labarre, E. Todini, Mohamed Najim, Eric Grivel, Yannick Berthoumieu

Publication date: 29 October 2009

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2005.12.001

zbMATH Keywords

Kalman filtersinstrumental variablesconsistent estimationAR parameters

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (5)

Identification and validation of periodic autoregressive model with additive noise: finite-variance case ⋮ Novel parameter estimation of autoregressive signals in the presence of noise ⋮ Confidence estimation of autoregressive parameters based on noisy data ⋮ Inverse filtering based method for estimation of noisy autoregressive signals ⋮ Estimation of autoregressive fading channels based on two cross-coupled \(H_{\infty }\) filters

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