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Simplified variance calculation for parameter estimates in the presence of coloured noise

Simplified variance calculation for parameter estimates in the presence of coloured noise

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The measurements used in many parameter-estimation problems are corrupted by coloured noise. When the noise covariance is unknown, which is often the case, it is desirable to select an equivalent white noise which will give meaningful variances for the parameters estimated. This paper derives an expression for this equivalent white noise and gives the results of applying the method to a parameter-estimation problem.

References

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      • P.A.N. Briggs , D.W. Clarke , P.H. Hammond . Introduction to statistical identification methods in control systems. Control , 233 - 238
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      • R.D. Bell , G.C. Goodwin . The determination of a continuous model of a steam generator using pseudo-random binary noise. Inst. Eng. Aust. Elect. Eng. Trans.
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      • T.R. McCalla . (1966) , Introduction to numerical methods and Fortran programming.
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