逆システムを用いた雑音を含むARシステムの次数の推定法

概要

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The relationship between input and output of a pth-order AR system can be expressed by the difference equation as x(n)=-Σ^^p__<i=1>a_ix(n - i) + u(n),(1) where the innovation process u(n) is a sequence of white noise with distribution N(0,σ^2_u) and x(n) denotes the output signal. The coefficient vector a is defined as a=[a_1,a_2,……,a_p]^T (2) The observed process y(n) is defined by y(n)=x(n)+v(n),(3) where v(n) is an uncorrelated white noise process with distribution N(0,σ^2_v) denoting the observation noise. In this paper, we consider that the input signal u(n), output signal x(n) and the observation noise v(n) are all not measureable directly. Only the driving input variance σ^2_u is assumed to be known a priori. The problem under consideration is to estimate p using y(n) only.
社団法人電子情報通信学会の論文
1995-09-05