A new estimation approach for AR models in presence of noise
Abstract
This paper considers the problem of estimating the parameters of an autoregressive (AR) process inpresence of additive white noise and proposes a new identification method, based on theoretical results originally developed in errors-in-variables contexts.This approach allows to estimate the AR parameters, the driving noise variance and the variance of the additive noise in a congruent way, i.e. these estimates assure the positive definiteness of the autocorrelation matrix. The performance of the proposed algorithm is compared with that of bias-compensated least-squares methods by means fo Monte Carlo simulations.The results show the effectivenesss of this method also in presence of high amounts of noise.
