In this paper we propose a Capon-type estimator for the spectrum of a stationary time series. This estimator may be viewed as an alternative to classical periodogram-based estimators. Its advantage is that it copes with the "leakage effect" by using implicitly automatic adaptive windowing. We show its asymptotic equivalence to a random variable which is a quadratic form in the observations, thus obtaining the asymptotic normality of the Capon estimator. We also study its asymptotic bias and variance.
Publié le : 1994-12-14
Classification:
Time series analysis,
spectral estimator,
high resolution estimator,
leakage effect,
Capon estimator,
maximum likelihood method (MLM),
covariance matrix estimation,
62M15,
62M10,
62E20,
62G05
@article{1176325773,
author = {Ioannidis, Evangelos E.},
title = {On the Behavior of a Capon-Type Spectral Density Estimator},
journal = {Ann. Statist.},
volume = {22},
number = {1},
year = {1994},
pages = { 2089-2114},
language = {en},
url = {http://dml.mathdoc.fr/item/1176325773}
}
Ioannidis, Evangelos E. On the Behavior of a Capon-Type Spectral Density Estimator. Ann. Statist., Tome 22 (1994) no. 1, pp. 2089-2114. http://gdmltest.u-ga.fr/item/1176325773/