Linear Estimation of Stationary Autoregressive Processes

Joint Authors

Dianat, Reza
Marvasti, Farokh

Source

ISRN Signal Processing

Issue

Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-10, 10 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2011-02-14

Country of Publication

Egypt

No. of Pages

10

Main Subjects

Electronic engineering
Information Technology and Computer Science

Abstract EN

Consider a sequence of an mth-order Autoregressive (AR) stationary discrete-time process and assume that at least m−1 consecutive neighboring samples of an unknown sample are available.

It is not important that the neighbors are from one side or are from both the left and right sides.

In this paper, we find explicit solutions for the optimal linear estimation of the unknown sample in terms of the neighbors.

We write the estimation errors as the linear combination of innovation noises.

We also calculate the corresponding mean square errors (MSE).

To the best of our knowledge, there is no explicit solution for this problem.

The known solutions are the implicit ones through orthogonality equations.

Also, there are no explicit solutions when fewer than m−1 samples are available.

The order of the process (m) and the feedback coefficients are assumed to be known.

American Psychological Association (APA)

Dianat, Reza& Marvasti, Farokh. 2011. Linear Estimation of Stationary Autoregressive Processes. ISRN Signal Processing،Vol. 2011, no. 2011, pp.1-10.
https://search.emarefa.net/detail/BIM-448790

Modern Language Association (MLA)

Dianat, Reza& Marvasti, Farokh. Linear Estimation of Stationary Autoregressive Processes. ISRN Signal Processing No. 2011 (2011), pp.1-10.
https://search.emarefa.net/detail/BIM-448790

American Medical Association (AMA)

Dianat, Reza& Marvasti, Farokh. Linear Estimation of Stationary Autoregressive Processes. ISRN Signal Processing. 2011. Vol. 2011, no. 2011, pp.1-10.
https://search.emarefa.net/detail/BIM-448790

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-448790