A modified version of the Pisarenko method to estimate the power spectral density of any asymptotically wide sense stationary vector process

DOI10.1016/j.amc.2019.06.040zbMath1433.15030MaRDI QIDQ2286040

Jesús Gutiérrez-Gutiérrez

Publication date: 9 January 2020

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2019.06.040

zbMATH Keywords

generating function; power spectral density; block Toeplitz matrix; spectral estimation method

Mathematics Subject Classification ID

62M15: Inference from stochastic processes and spectral analysis

15A18: Eigenvalues, singular values, and eigenvectors

94A17: Measures of information, entropy

15B05: Toeplitz, Cauchy, and related matrices

65F60: Numerical computation of matrix exponential and similar matrix functions

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