Parameter Estimation and GLRT Detection in Colored Non-Gaussian Autoregressive Processes
Date of Original Version
The problem addressed in this paper is that of estimating signal and noise parameters from a mixture of non-Gaussian autoregressive (AR) noise with partially known deterministic signal. Two models are considered in order to examine different kinds of additive mixing. The Cramer-Rao bounds to the joint estimation of the signal amplitude and the noise parameters are presented. A computationally simple estimator, which was previously proposed for estimation in the absence of signal, is extended for the two models under consideration. The proposed method essentially consists of two stages of least squares (LS) estimation which is motivated by the maximum likelihood estimation (MLE). The technique is then applied to the problem of detecting a signal known except for amplitude in colored non-Gaussian noise. Two slightly different mixing models are used and a generalized likelihood ratio test (GLRT), coupled with the proposed estimation scheme, is used to solve the problems. The results of computer simulations are presented as an evidence of the validity of the theoretical predictions of performance. © 1990 IEEE
IEEE Transactions on Acoustics, Speech, and Signal Processing
Sengupta, Debasis, and Steven M. Kay. "Parameter Estimation and GLRT Detection in Colored Non-Gaussian Autoregressive Processes." IEEE Transactions on Acoustics, Speech, and Signal Processing 38, 10 (1990): 1661-1676. doi:10.1109/29.60098.