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A modified version of the Pisarenko method to estimate the power spectral density of any asymptotically wide sense stationary vector process
被引：5
|作者：
Gutierrez-Gutierrez, Jesus
[1
]
机构：
[1] Univ Navarra, Tecnun, Paseo Manuel Lardizabal 13, San Sebastian 20018, Spain
关键词：
Block Toeplitz matrix;
Generating function;
Power spectral density;
Spectral estimation method;
BLOCK TOEPLITZ MATRICES;
EIGENVALUE DISTRIBUTION;
D O I：
10.1016/j.amc.2019.06.040
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The Pisarenko method estimates the power spectral density (PSD) of Gaussian wide sense stationary (WSS) 1-dimensional (scalar) processes when the PSD is Lipschitz. In this paper we modify the Pisarenko method to estimate the generating function of a sequence of block Toeplitz matrices from another sequence of matrices when both sequences are asymptotically equivalent. This modified version of the Pisarenko method allows us to estimate the PSD of any asymptotically WSS (AWSS) multidimensional (vector) process even if the process is not Gaussian and even if the PSD is continuous, but not Lipschitz. (C) 2019 Elsevier Inc. All rights reserved.
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页数：11
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