Title :
On the convergence of the minimum variance spectral estimator in nonstationary noise
Author :
Frazho, A.E. ; Sherman, P.J.
Author_Institution :
Sch. of Aeronaut. & Astronaut., Purdue Univ., West Lafayette, IN, USA
fDate :
9/1/1991 12:00:00 AM
Abstract :
A simple proof is presented of the convergence of the minimum variance spectral estimator to the point spectrum, as the order of the covariance matrix goes to infinity. This is done in the multichannel setting where the corrupting unknown noise process is allowed to be nonstationary. Explicit bounds are also obtained on the rate of convergence
Keywords :
convergence; noise; parameter estimation; signal processing; spectral analysis; convergence; covariance matrix; maximum likelihood estimation; minimum variance spectral estimator; multichannel setting; nonstationary noise; point spectrum; Additive noise; Convergence; Covariance matrix; Frequency estimation; H infinity control; Multidimensional signal processing; Physics computing; Polynomials; Random processes; Signal processing;
Journal_Title :
Information Theory, IEEE Transactions on
