Title :
Asymptotic statistical properties of autoregressive model for mixed spectrum estimation
Author :
Sherman, Peter J. ; Lau, Soon-Seng
Author_Institution :
Iowa State Univ., Ames, IA, USA
Abstract :
This work addresses the influence of the point spectrum on large sample statistics of the autoregressive spectral estimator. In particular, the asymptotic distributions of the AR coefficients, the innovations variance, and the spectral density estimator of a finite order AR(p) model for a mixed spectrum process are presented. Numerical simulations are performed to verify the analytical results
Keywords :
autoregressive processes; estimation theory; spectral analysis; statistical analysis; AR coefficient; asymptotic distributions; asymptotic statistical properties; autoregressive model; innovations variance; large sample statistics; mixed spectrum estimation; point spectrum; spectral density estimator; spectral estimator; Biomedical signal processing; Communication systems; Frequency; Numerical simulation; Random processes; Spectral analysis; Statistical distributions; Technological innovation; Turbomachinery; White noise;
Conference_Titel :
Acoustics, Speech and Signal Processing, 1998. Proceedings of the 1998 IEEE International Conference on
Conference_Location :
Seattle, WA
Print_ISBN :
0-7803-4428-6
DOI :
10.1109/ICASSP.1998.681606
