DocumentCode
1825700
Title
Optimally smoothed periodogram
Author
Stoica, Petre ; Sundin, Tomas
Author_Institution
Dept. of Syst. & Control, Uppsala Univ., Sweden
Volume
2
fYear
1999
fDate
24-27 Oct. 1999
Firstpage
1082
Abstract
Locally smoothing the periodogram yields one of the most successful methods for non-parametric spectral estimation. Nevertheless no much guideline was available for choosing the window parameters and span for smoothing. Here we derive the window parameters and span that minimize an asymptotically unbiased estimate of the spectral estimation error variance. The so-obtained optimally smoothed periodogram is shown to outperform the commonly-used uniformly smoothed periodogram.
Keywords
mean square error methods; nonparametric statistics; optimisation; smoothing methods; spectral analysis; asymptotically unbiased estimate minimisation; integrated mean square error; local smoothing; nonparametric spectral estimation; optimally smoothed periodogram; spectral estimation error variance; uniformly smoothed periodogram; window parameters; window span; Constraint optimization; Control systems; Estimation error; Frequency; Guidelines; Kernel; Mean square error methods; Narrowband; Smoothing methods; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Signals, Systems, and Computers, 1999. Conference Record of the Thirty-Third Asilomar Conference on
Conference_Location
Pacific Grove, CA, USA
ISSN
1058-6393
Print_ISBN
0-7803-5700-0
Type
conf
DOI
10.1109/ACSSC.1999.831876
Filename
831876
Link To Document