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Optimal stochastic ...
Optimal stochastic discrete time–frequency analysis in the ambiguity and time-lag domain
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- Sandberg, Johan (författare)
- Lund University,Lunds universitet,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
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- Sandsten, Maria (författare)
- Lund University,Lunds universitet,Statistical Signal Processing Group,Forskargrupper vid Lunds universitet,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Lund University Research Groups,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
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(creator_code:org_t)
- Elsevier BV, 2010
- 2010
- Engelska.
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Ingår i: Signal Processing. - : Elsevier BV. - 0165-1684. ; 90:7, s. 2203-2211
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Abstract
Ämnesord
Stäng
- In stochastic time-frequency analysis, the covariance function is often estimated from only one observed realization with the use of a kernel function. For processes in continuous time, this can equivalently be done in the ambiguity domain, with the advantage that the mean square error optimal ambiguity kernel can be computed. For processes in discrete time, several ambiguity domain definitions have been proposed. It has previously been reported that in the Jeong-Williams ambiguity domain, in contrast to the Nutall and the Claasen-Mecklenbräucker ambiguity domain, any smoothing covariance function estimator can be represented as an ambiguity kernel function. In this paper, we show that the Jeong-Williams ambiguity domain can not be used to compute the mean square error (MSE) optimal covariance function estimate for processes in discrete time. We also prove that the MSE optimal estimator can be computed without the use of the ambiguity domain, as the solution to a system of linear equations. Some properties of the optimal estimator are derived.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Time-frequency analysis
- Auto Covariance Sequence (ACVS)
- Ambiguity domain
Publikations- och innehållstyp
- art (ämneskategori)
- ref (ämneskategori)
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