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Asymptotic variance of the AR spectral estimator for noisy sinusoidal data
Uppsala universitet.ORCID iD: 0000-0002-2718-0262
1994 (English)In: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 35, no 2, 131-139 p.Article in journal (Refereed) Published
Abstract [en]

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.
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-43884DOI: 10.1016/0165-1684(94)90041-8ISI: A1994MW58500003OAI: oai:DiVA.org:kth-43884DiVA: diva2:448843
Note
QC 20111107Available from: 2011-10-18 Created: 2011-10-18 Last updated: 2017-12-08Bibliographically approved

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Händel, Peter

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