DocumentCode
979292
Title
The Waterbed Effect in Spectral Estimation
Author
Stoica, Petre ; Li, Jian ; Ninness, Brett
Author_Institution
Dept. of Syst. & Control, Uppsala Univ., Sweden
Volume
21
Issue
3
fYear
2004
fDate
5/1/2004 12:00:00 AM
Firstpage
88
Lastpage
100
Abstract
In this lecture note, we present a textbook-like derivation of the waterbed effect result in Ninness (2003). Compared with Ninness, our analysis is much simpler and yet slightly more general in that it is not limited to rational spectral densities as in Ninness (it is noted, however, that Ninness has also derived a closed-form expression for the finite-m CRB on the relative variance of Φ(ω, θˆ), which we do not).
Keywords
frequency estimation; signal processing; spectral analysis; Cramer-Rao bound; average relative variance; nonparametric spectral estimation; power spectral density; stationary Gaussian signal; waterbed effect; Closed-form solution; Computer science; Control systems; Frequency estimation; Reactive power; Shape; Taylor series; USA Councils;
fLanguage
English
Journal_Title
Signal Processing Magazine, IEEE
Publisher
ieee
ISSN
1053-5888
Type
jour
DOI
10.1109/MSP.2004.1296549
Filename
1296549
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