ON THE HIGH RESOLUTION ESTIMATION OF THE SPECTRAL DENSITY

This paper considers some main results in the area of nonparametric analysis of the spectral estimation problem with emphasis on the high resolution estimation. We have also discussed various extensions of the methods, with the extension to the multivariate time series. A general class of high resolution spectral density is introduced, including two special cases: Bartlett’s estimate and Capon’s estimate. A comparison with several popular high resolution estimations are also given. Then, we consider periodically correlated (cyclostationary) time series, their spectra and also the estimation of these spectra using the mentioned technique.