ON THE BEHAVIOR OF A CAPON-TYPE SPECTRAL DENSITY ESTIMATOR

• 成果类型: Article
• 署名作者: IOANNIDIS, EE
• 署名单位: Ruprecht Karls University Heidelberg
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176325773
• 发表日期: 1994
• 页码: 2089-2114
• 关键词: maximum-entropy; time-series; MODEL; selection; matrix

摘要

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.