Abstract
The problem is considered of estimating unknown parameters in the pulse transfer function by using estimates of the noise auto-correlation function, from input and output data corrupted by colored noise. The three-step estimation procedure has already been proposed to obtain improved parameter estimates in the final step, by making good use of the extended input/output correlation functions. For quantitatively evaluating this procedure, the reductive parameter transformation from the first step to the final step is introduced. Then, the final parameter estimates hold the good properties of satisfying the minimum error criteria not only for the parameter transformation but also for the bias-compensated least-squares estimation.
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