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.2019.06.040zbMath1433.15030OpenAlexW2954887824MaRDI 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 functionpower spectral densityblock Toeplitz matrixspectral estimation method

Mathematics Subject Classification ID

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

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Necessary and sufficient conditions for AR vector processes to be stationary: applications in information theory and in statistical signal processing

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