TY - JOUR
T1 - Adaptive Pole Estimation
AU - Nehorai, Arye
AU - Starer, David
N1 - Funding Information:
Manuscript received November 5. 1987: revised June 27. 1989. This work was supported by the Air Force Ottice of Scientific Research under Grant AFOSR-88-0080. The authors are with the Department of Electrical Engineering, Yale University, New Haven, CT 06520. IEEE Log Number 9034437.
PY - 1990/5
Y1 - 1990/5
N2 - A new adaptive algorithm is developed for on-line estimation of the poles of autoregressive (AR) processes. The method estimates the poles directly from the data without intermediate estimation of the AR coefficients or polynomial factorization. It converges rapidly, is computationally efficient, and attains the Cramer-Rao bound (CRB) asymptotically. A closed-form expression for the asymptotic CRB is provided. Convergence to the true solution is proved, and methods are discussed for extending the algorithm for use with more general (e.g., ARMA) models. Numerical examples are presented to demonstrate the performance of the algorithm.
AB - A new adaptive algorithm is developed for on-line estimation of the poles of autoregressive (AR) processes. The method estimates the poles directly from the data without intermediate estimation of the AR coefficients or polynomial factorization. It converges rapidly, is computationally efficient, and attains the Cramer-Rao bound (CRB) asymptotically. A closed-form expression for the asymptotic CRB is provided. Convergence to the true solution is proved, and methods are discussed for extending the algorithm for use with more general (e.g., ARMA) models. Numerical examples are presented to demonstrate the performance of the algorithm.
UR - https://www.scopus.com/pages/publications/0025430459
U2 - 10.1109/29.56028
DO - 10.1109/29.56028
M3 - Article
AN - SCOPUS:0025430459
SN - 0096-3518
VL - 38
SP - 825
EP - 838
JO - IEEE Transactions on Acoustics, Speech, and Signal Processing
JF - IEEE Transactions on Acoustics, Speech, and Signal Processing
IS - 5
ER -