Controlled Parameter Estimation for The AR(1) Model with Stationary Gaussian Noise

Abstract

This paper deals with the maximum likelihood estimator for the parameter of first-order autoregressive models driven by the stationary Gaussian noises (Colored noise) together with an input. First, we will find the optimal input that maximizes the Fisher information, and then, with the method of the Laplace transform, both the asymptotic properties and the asymptotic design problem of the maximum likelihood estimator will be investigated. The results of the numerical simulation confirm the theoretical analysis and show that the proposed maximum likelihood estimator performs well in finite samples.