Estimation algorithm for quantized dynamic shock error models in multiplicative noise

TitleEstimation algorithm for quantized dynamic shock error models in multiplicative noise
Publication TypeConference Paper
Year of Publication1994
AuthorsKrishnamurthy, V.
Conference NameDecision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Pagination2294 -2299 vol.3
Date Publisheddec.
Keywords1-bit quantized noisy measurements, binary series estimation algorithm, BSEA, communication systems, consistent asymptotically normal parameter estimates, DSEM, econometrics, linear errors-in-variables model, multiplicative noise, noise, parameter estimation, quantized dynamic shock error models, speech coding, systems theory

In this paper we present an estimation algorithm for dynamic shock-error models (DSEM) given 1-bit quantized noisy measurements of the input and output. We call our algorithm the binary series estimation algorithm (BSEA). The DSEM is a particular case of a linear errors-in-variables model and has applications in econometrics and systems theory; indeed special cases of a DSEM have potential applications in speech coding and communication systems. BSEA is computationally inexpensive as it involves counting the number of occurrences of particular patterns of zeros and ones in the input and output sequences. BSEA yields consistent parameter estimates that are asymptotically normal. Simulation studies show that for moderate length observation sequences, BSEA yields satisfactory estimates of the DSEM parameters even at low signal to noise ratios


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