On the noise-compensated Yule-Walker equations
C.E. Davila · IEEE Transactions on Signal Processing · 2001
Recently, a method of estimating the parameters of an AR(p) random process based on measurements corrupted by additive white noise was described. The method involves solving a matrix pencil, called the noise-compensated Yule-Walker (NCYW) equations, for the AR parameters and the variance of the measurement noise. We give a necessary and sufficient condition for there to exist a unique solution to the NCYW equations.