Capon estimation of covariance sequences

DOI10.1007/BF01213968zbMath0905.94008MaRDI QIDQ1379626

Petre Stoica, Hongbin Li, Jian Li

Publication date: 25 February 1998

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

zbMATH Keywords

fast Fourier transformstationary processdigital signal processingCapon spectral estimatescovariance sequence

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Numerical methods for discrete and fast Fourier transforms (65T50) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• An improved maximum likelihood method for power spectral density estimation
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• Approximate maximum-likelihood approach to ARMA spectral estimation