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 n[k]
afterwards.
Is it a common practice to use whitening filter for noise estimation and is there any counter-argument not to use it?
a[t]*x[t]
, so I'm not sure you're winning anything, unless you know things abouta[t]*x[t]
you don't tell us! $\endgroup$x[t]
is a speech envelope but you are right, whitening filter will also spreada[t]*x[t]
and there will be nothing to gain. I'll find another solution. Thank you $\endgroup$