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2010

Multichannel AR parameter estimation from noisy observations as an errors-in-variables issue

11 years 4 months ago
Multichannel AR parameter estimation from noisy observations as an errors-in-variables issue
In various applications from radar processing to mobile communication systems based on CDMA for instance, M-AR multichannel processes are often considered and may be combined with Kalman filtering. However, the estimations of the M-AR parameter matrices and the covariance matrices of the additive noise and the driving process from noisy observations are key issues to be addressed. In this paper, we propose to solve this problem as an errors-in-variables problem. Thus, the noisy observation autocorrelation matrix compensated by a specific diagonal block matrix and whose kernel is defined by the M-AR parameters matrices must be positive semi-definite. Hence, the parameter estimation consists of searching every diagonal block matrix that satisfies this property, of reiterating this search for a higher model order and then of extracting the solution that belongs to both sets. The proposed algorithm outperforms existing methods, especially for low signal-to-noise ratio and when the varianc...
Julien Petitjean, Eric Grivel, William Bobillet, P
Added 30 Jan 2011
Updated 30 Jan 2011
Type Journal
Year 2010
Where SIVP
Authors Julien Petitjean, Eric Grivel, William Bobillet, Patrick Roussilhe
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