Title :
Autoregressive spectral estimation in additive noise
Author :
Gingras, Donald F. ; Masry, Elias
Author_Institution :
US Naval Ocean Syst. Center, San Diego, CA, USA
fDate :
4/1/1988 12:00:00 AM
Abstract :
The estimation of the spectral density of a discrete-time stationary Gaussian autoregressive process AR (p) from a finite set of noise observations is considered. A modified spectral estimator based on the high-order Yule-Walker equations is considered. Joint asymptotic normality of this spectral estimator is established; a precise asymptotic expression for the covariance matrix of the limiting distribution is obtained. The special case of AR(1) plus noise is considered in some detail
Keywords :
random noise; random processes; spectral analysis; Gaussian autoregressive process; additive noise; asymptotic expression; autoregressive spectral estimation; covariance matrix; discrete-time stationary process; high-order Yule-Walker equations; limiting distribution; noise observations; Additive noise; Autoregressive processes; Covariance matrix; Equations; Gaussian noise; H infinity control; Limiting; Parameter estimation; Signal processing; Signal to noise ratio;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
