On The Relation Between Weighted Frequency-Domain Maximum-Likelihood Power Spectral Estimation and the Prefiltered Covariance Extension Approach

DOI10.1109/TSP.2006.885780MaRDI QIDQ4564323zbMATH OpenFDO

Authors Anders Blomqvist, B. Wahlberg

Publication date 12 June 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2006.885780

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(2)

• Optimization-based computation of analytic interpolants of bounded complexity
• An interpretation of the dual problem of the THREE-like approaches

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