The signal I'm working on includes some noise which is I assume Gaussian white noise with zero mean and an arbitrary variance. So, it is like;
y[t] = a[t]*x[t] + n[t]
I'm searching for the unknown variance of the noise component of the signal to use in Kalman filter. My idea is using Whitening filter over observation
y[k] and finding variance of noise component
Is it a common practice to use whitening filter for noise estimation and is there any counter-argument not to use it?