Bayesian interpretation of periodograms

DOI10.1109/78.928692MaRDI QIDQ5353531zbMATH OpenOpenAlexFDO

Authors J.-F. Giovannelli, J. Idier

Publication date 8 September 2017

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

Full work available at URL https://arxiv.org/abs/0908.3262

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Inference from stochastic processes and spectral analysis (62M15)

Abstract: The usual nonparametric approach to spectral analysis is revisited within the regularization framework. Both usual and windowed periodograms are obtained as the squared modulus of the minimizer of regularized least squares criteria. Then, particular attention is paid to their interpretation within the Bayesian statistical framework. Finally, the question of unsupervised hyperparameter and window selection is addressed. It is shown that maximum likelihood solution is both formally achievable and practically useful.

Cited in

(2)

• Bayesian Parameter Estimation Using Periodic Cost Functions
• Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation

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