MSE Estimates for Multitaper Spectral Estimation and Off-Grid Compressive Sensing

DOI10.1109/TIT.2017.2718963MaRDI QIDQ4566605zbMATH OpenFDO

Authors José Luis Romero, Luís Daniel Abreu

Publication date 27 June 2018

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.08190

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We obtain estimates for the Mean Squared Error (MSE) for the multitaper spectral estimator and certain compressive acquisition methods for multi-band signals. We confirm a fact discovered by Thomson [Spectrum estimation and harmonic analysis, Proc. IEEE, 1982]: assuming bandwidth $W$ and $N$ time domain observations, the average of the square of the first $K=2NW$ Slepian functions approaches, as $K$ grows, an ideal band-pass kernel for the interval $[-W,W]$. We provide an analytic proof of this fact and measure the corresponding rate of convergence in the $L^1$ norm. This validates a heuristic approximation used to control the MSE of the multitaper estimator. The estimates have also consequences for the method of compressive acquisition of multi-band signals introduced by Davenport and Wakin, giving MSE approximation bounds for the dictionary formed by modulation of the critical number of prolates.

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• Spectral-norm risk rates for multi-taper estimation of Gaussian processes
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