Asymptotic variance of the AR spectral estimator for noisy sinusoidal data
1994 (English)In: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 35, no 2, 131-139 p.Article in journal (Refereed) Published
In this paper the autoregressive (AR) spectral estimator is analyzed in the case of noisy sinusoidal data. An expression for the large-sample normalized variance is derived and studied in detail for increasing model order. In particular, a very simple formula is derived for the asymptotic (in both number of observed data and model order) normalized variance, which confirms a conjecture made by Sakai.
Place, publisher, year, edition, pages
1994. Vol. 35, no 2, 131-139 p.
Electrical Engineering, Electronic Engineering, Information Engineering
IdentifiersURN: urn:nbn:se:kth:diva-43884DOI: 10.1016/0165-1684(94)90041-8ISI: A1994MW58500003OAI: oai:DiVA.org:kth-43884DiVA: diva2:448843
QC 201111072011-10-182011-10-182011-11-21Bibliographically approved