Abstract
We present a new multichannel autoregressive parameter estimation method using a finite set of noisy observations without a priori knowledge of additive noise power. The proposed method is based on solving alternatively a set of nonlinear and a set of linear equations. The Newton–Raphson iteration algorithm is used to estimate the unknown noise variances solving the nonlinear equations while the unknown AR parameter matrices are estimated solving the noise–compensated Yule–Walker equations linearly. Computer simulation results are presented to evaluate the performance of the proposed method.
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