STATISTICAL ANALYSIS OF LEAST SQUARES AUTOREGRESSIVE ESTIMATION IN THE PRESENCE OF NOISE.

Petre Stoica; Arye Nehorai

doi:10.1109/cdc.1986.267250

STATISTICAL ANALYSIS OF LEAST SQUARES AUTOREGRESSIVE ESTIMATION IN THE PRESENCE OF NOISE.

Petre Stoica
, Arye Nehorai

Research output: Contribution to journal › Conference article › peer-review

Abstract

The asymptotic covariance of the least-squares autoregressive (AR) estimator is derived for an autoregressive signal with additive white or colored noise. The result is analyzed in detail for first-order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.

Original language	English
Pages (from-to)	297-302
Number of pages	6
Journal	Proceedings of the IEEE Conference on Decision and Control
DOIs	https://doi.org/10.1109/cdc.1986.267250
State	Published - 1986

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title = "STATISTICAL ANALYSIS OF LEAST SQUARES AUTOREGRESSIVE ESTIMATION IN THE PRESENCE OF NOISE.",

abstract = "The asymptotic covariance of the least-squares autoregressive (AR) estimator is derived for an autoregressive signal with additive white or colored noise. The result is analyzed in detail for first-order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.",

author = "Petre Stoica and Arye Nehorai",

year = "1986",

doi = "10.1109/cdc.1986.267250",

language = "English",

pages = "297--302",

journal = "Proceedings of the IEEE Conference on Decision and Control",

issn = "0191-2216",

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T1 - STATISTICAL ANALYSIS OF LEAST SQUARES AUTOREGRESSIVE ESTIMATION IN THE PRESENCE OF NOISE.

AU - Stoica, Petre

AU - Nehorai, Arye

PY - 1986

Y1 - 1986

N2 - The asymptotic covariance of the least-squares autoregressive (AR) estimator is derived for an autoregressive signal with additive white or colored noise. The result is analyzed in detail for first-order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.

AB - The asymptotic covariance of the least-squares autoregressive (AR) estimator is derived for an autoregressive signal with additive white or colored noise. The result is analyzed in detail for first-order systems. A procedure for applying the results to problems such as speech recognition, fault detection, biomedical diagnosis and others is presented.

UR - https://www.scopus.com/pages/publications/0022955686

U2 - 10.1109/cdc.1986.267250

DO - 10.1109/cdc.1986.267250

M3 - Conference article

AN - SCOPUS:0022955686

SN - 0191-2216

SP - 297

EP - 302

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

ER -

STATISTICAL ANALYSIS OF LEAST SQUARES AUTOREGRESSIVE ESTIMATION IN THE PRESENCE OF NOISE.

Abstract

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