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Spectrum estimation by interpolation of covariances and cepstrum parameters in an exponentional class of spectral densities
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
2006 (English)Conference paper (Refereed)
Abstract [en]

Given output data of a stationary stochastic process estimates of the covariances and cepstrum parameters can be obtained. Methods of moments have been applied to these parameters for designing ARMA processes, and it has been shown that these two sets of parameters in fact form local coordinates for the set of ARMA processes, but that some combinations of cepstrum parameters and covariances cannot be matched exactly within this class of processes. Therefore, another class of processes is considered in this paper in order to be able to match any combination of covariances and cepstrum parameters. The main result is that a process with spectral density of the form Φ exP{Σ k=0mpk(zk + z-k)}/Σ k=0nqk(zk + z-k)/2 can always match given covariances and cepstrum parameters. This is proven using a fixed-point argument, and a non-linear least-squares problem is proposed for determining a solution.

Place, publisher, year, edition, pages
2006. 799-804 p.
, Proceedings of the IEEE Conference on Decision and Control, ISSN 0191-2216
Keyword [en]
Parameter estimation, Problem solving, Spectral density, Spectral densities, Spectrum estimation, Interpolation
National Category
URN: urn:nbn:se:kth:diva-155409ScopusID: 2-s2.0-39649113522ISBN: 1424401712ISBN: 9781424401710OAI: diva2:765734
45th IEEE Conference on Decision and Control 2006, CDC; San Diego, CA; United States; 13 December 2006 through 15 December 2006

QC 20141124

Available from: 2014-11-24 Created: 2014-11-05 Last updated: 2014-11-24Bibliographically approved

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