Title :
Asymptotic properties of high-order Yule-Walker estimates of frequencies of multiple sinusoids
Author :
Stoica, P. ; Friedlander, B. ; Söderström, T.
Author_Institution :
Institutul Polytechnic Bucuresti, Bucharest, Romania
Abstract :
The asymptotic properties of the high-order Yule-Walker (HOYW) estimator of sinusoidal frequencies are analyzed. An explicit formula for the covariance matrix of the HOYW frequency estimation error is derived. The effects of the number of equations, the model order and a certain weighting matrix are investigated analytically. The optimally weighted HOYW estimator is described. The analysis motivates using an overdetermined and high-order Yule-Walker estimator.
Keywords :
Automatic control; Contracts; Control system analysis; Covariance matrix; Difference equations; Frequency estimation; Matrix decomposition; Milling machines; Polynomials; USA Councils;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '86.
DOI :
10.1109/ICASSP.1986.1169013
