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- Blomqvist, AndersKTH,Optimeringslära och systemteori (author)
On the relation between weighted frequency-domain maximum-likelihood power spectral estimation and the prefiltered covariance extension approach
- Article/chapterEnglish2007
Publisher, publication year, extent ...
- Institute of Electrical and Electronics Engineers (IEEE),2007
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:kth-16308
- https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-16308URI
- https://doi.org/10.1109/tsp.2006.885780DOI
Supplementary language notes
- Language:English
- Summary in:English
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- SwePubSwePub
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Notes
- QC 20100525
- The aim of this correspondence is to study the connection between weighted frequency-domain maximum-likelihood power spectral estimation and the time-domain prefiltered covariance extension approach. Weighting and prefiltering are introduced to emphasize the model fit in a certain frequency range. The main result is that these two methods are very closely related for the case of autoregressive (AR) model estimation, which implies that both can be formulated as convex optimization problems. Examples illustrating the methods and the effect of prefiltering/weighting are provided.
Subject headings and genre
- TEKNIK OCH TEKNOLOGIER Elektroteknik och elektronik Reglerteknik hsv//swe
- ENGINEERING AND TECHNOLOGY Electrical Engineering, Electronic Engineering, Information Engineering Control Engineering hsv//eng
- autoregressive (AR) processes
- covariance analysis
- frequency-domain
- analysis
- spectral analysis
- convex-optimization approach
- time-series
Added entries (persons, corporate bodies, meetings, titles ...)
- Wahlberg, Bo,1959-KTH,Reglerteknik,ACCESS Linnaeus Centre,System Identification Group(Swepub:kth)u18c1tfa (author)
- KTHOptimeringslära och systemteori (creator_code:org_t)
Related titles
- In:IEEE Transactions on Signal Processing: Institute of Electrical and Electronics Engineers (IEEE)55:1, s. 384-3891053-587X1941-0476
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