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.2019.06.040MaRDI QIDQ2286040zbMATH OpenOpenAlexFDO

Authors 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

block Toeplitz matrixgenerating functionpower spectral densityspectral estimation method

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Toeplitz, Cauchy, and related matrices (15B05) Inference from stochastic processes and spectral analysis (62M15) Numerical computation of matrix exponential and similar matrix functions (65F60) Measures of information, entropy (94A17)

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Cites work

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• Asymptotically Equivalent Sequences of Matrices and Hermitian Block Toeplitz Matrices With Continuous Symbols: Applications to MIMO Systems
• Asymptotically Equivalent Sequences of Matrices and Multivariate ARMA Processes
• Block generalized locally Toeplitz sequences: from the theory to the applications
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• scientific article; zbMATH DE number 3484308 (Why is no real title available?)
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• Introduction to large truncated Toeplitz matrices
• On the asymptotic eigenvalue distribution of Toeplitz matrices
• Singular values and eigenvalues of non-Hermitian block Toeplitz matrices
• Singular-value (and eigenvalue) distribution and Krylov preconditioning of sequences of sampling matrices approximating integral operators.
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Cited in

(2)

• Necessary and sufficient conditions for AR vector processes to be stationary: applications in information theory and in statistical signal processing
• Computation of the fundamental limits of data compression for certain nonstationary ARMA vector sources

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