Title :
The envelope of spectral power for stochastic processes
Author :
Shankwitz, Craig R. ; Georgiou, Tryphon T.
Author_Institution :
Dept. of Electr. Eng., Minnesota Univ., Minneapolis, MN, USA
fDate :
3/1/1994 12:00:00 AM
Abstract :
It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset. The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope
Keywords :
maximum likelihood estimation; spectral analysis; stochastic processes; closed form expression; covariance lags; maximum likelihood spectral estimate; real-valued process; spectral power envelope; stochastic processes; Distribution functions; Entropy; Frequency; Maximum likelihood estimation; Polynomials; Stochastic processes;
Journal_Title :
Information Theory, IEEE Transactions on