On the relation between weighted frequency-domain maximum-likelihood power spectral estimation and the prefiltered covariance extension approach
2007 (English)In: IEEE Transactions on Signal Processing, ISSN 1053-587X, E-ISSN 1941-0476, Vol. 55, no 1, 384-389 p.Article in journal (Refereed) Published
The aim of this correspondence is to study the connection between weighted frequency-domain maximum-likelihood power spectral estimation and the time-domain prefiltered covariance extension approach. Weighting and prefiltering are introduced to emphasize the model fit in a certain frequency range. The main result is that these two methods are very closely related for the case of autoregressive (AR) model estimation, which implies that both can be formulated as convex optimization problems. Examples illustrating the methods and the effect of prefiltering/weighting are provided.
Place, publisher, year, edition, pages
2007. Vol. 55, no 1, 384-389 p.
autoregressive (AR) processes, covariance analysis, frequency-domain, analysis, spectral analysis, convex-optimization approach, time-series
IdentifiersURN: urn:nbn:se:kth:diva-16308DOI: 10.1109/tsp.2006.885780ISI: 000243281200035ScopusID: 2-s2.0-33947425607OAI: oai:DiVA.org:kth-16308DiVA: diva2:334350
QC 201005252010-08-052010-08-052013-09-05Bibliographically approved