Parameter estimation of multichannel autoregressive processes in noise

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. (C) 2002 Elsevier Science B.V. All rights reserved.