Identification of noisy input-output FIR models with colored output noise

Abstract

This paper deals with the identification of FIR models corrupted by white input noise and colored output noise. An identification algorithm that exploits the properties of both the dynamic Frisch scheme and the high-order Yule-Walker (HOYW) equations is proposed. It is shown how the HOYW equations allow to define a selection criterion for identifying the input noise variance (and then the FIR coefficients) within the Frisch locus of solutions. The proposed approach does not require any a priori knowledge about the input and output noise variances. The algorithm performance is assessed by means of Monte Carlo simulations.