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On the relation bet...
On the relation between weighted frequency-domain maximum-likelihood power spectral estimation and the prefiltered covariance extension approach
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- Blomqvist, Anders (författare)
- KTH,Optimeringslära och systemteori
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- Wahlberg, Bo, 1959- (författare)
- KTH,Reglerteknik,ACCESS Linnaeus Centre,System Identification Group
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(creator_code:org_t)
- Institute of Electrical and Electronics Engineers (IEEE), 2007
- 2007
- Engelska.
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Ingår i: IEEE Transactions on Signal Processing. - : Institute of Electrical and Electronics Engineers (IEEE). - 1053-587X .- 1941-0476. ; 55:1, s. 384-389
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Nyckelord
- autoregressive (AR) processes
- covariance analysis
- frequency-domain
- analysis
- spectral analysis
- convex-optimization approach
- time-series
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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