A modified version of the Pisarenko method to estimate the power spectral density of any asymptotically wide sense stationary vector process
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Publication:2286040
DOI10.1016/j.amc.2019.06.040zbMath1433.15030MaRDI QIDQ2286040
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
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