谐波
光谱(功能分析)
谐波分析
谐波
光谱密度
谱密度估计
物理
出处
期刊:Proceedings of the IEEE
[Institute of Electrical and Electronics Engineers]
日期:1982-09-01
卷期号:70 (9): 1055-1096
被引量:3299
标识
DOI:10.1109/proc.1982.12433
摘要
In the choice of an estimator for the spectrum of a stationary time series from a finite sample of the process, the problems of bias control and consistency, or smoothing, are dominant. In this paper we present a new method based on a local eigenexpansion to estimate the spectrum in terms of the solution of an integral equation. Computationally this method is equivalent to using the weishted average of a series of direct-spectrum estimates based on orthogonal data windows (discrete prolate spheroidal sequences) to treat both the bias and smoothing problems. Some of the attractive features of this estimate are: there are no arbitrary windows; it is a small sample theory; it is consistent; it provides an analysis-of-variance test for line components; and it has high resolution. We also show relations of this estimate to maximum-likelihood estimates, show that the estimation capacity of the estimate is high, and show applications to coherence and polyspectrum estimates.
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