Abstract
The inverse of the Fisher information matrix can be decided by the system input sequence and the disturbance variance if a Gaussian noise is involved. The lower bound mean-square error matrix of any unbiased estimator is given by Cramer-Rao Lemma. When a system is disturbed by some biased noises, the classical Fisher information matrix would be not valid. The bound is not fitted when a biased estimator is implemented. Signal processing for ARX model disturbed by complex noise is concerned in this paper. Cramer-Rao bound of a biased estimation is obtained. An adaptive signal processing algorithm for identification of ARX system disturbed by biased estimation is proposed. Some experiments are included to verify the efficiency of the new algorithm.
This work is supported by the National Natural Science Foundation of China No.60973049 and No.60635020.
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Zhang, Y., Luo, G. (2010). Adaptive Signal Processing for ARX System Disturbed by Complex Noise. In: Wang, F.L., Deng, H., Gao, Y., Lei, J. (eds) Artificial Intelligence and Computational Intelligence. AICI 2010. Lecture Notes in Computer Science(), vol 6319. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16530-6_25
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DOI: https://doi.org/10.1007/978-3-642-16530-6_25
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