Spectral estimation via selective harmonic amplification

Author

Georgiou, Tryphon T.

Author_Institution

Dept. of Electr. & Comput. Eng., Minnesota Univ., Minneapolis, MN, USA

Volume

46

Issue

1

fYear

2001

fDate

1/1/2001 12:00:00 AM

Firstpage

29

Lastpage

42

Abstract

The state-covariance of a linear filter is characterized by a certain algebraic commutativity property with the state matrix of the filter, and also imposes a generalized interpolation constraint on the power spectrum of the input process. This algebraic property and the relationship between state-covariance and the power spectrum of the input allow the use of matrix pencils and analytic interpolation theory for spectral analysis. Several algorithms for spectral estimation are developed with resolution higher than state of the art

Keywords

covariance matrices; filtering theory; interpolation; spectral analysis; algebraic commutativity property; analytic interpolation theory; generalized interpolation constraint; linear filter; matrix pencils; power spectrum; selective harmonic amplification; spectral estimation; state matrix; state-covariance; Absorption; Covariance matrix; Filtering; Interpolation; Matrix decomposition; Nonlinear filters; Power harmonic filters; Spectral analysis; State estimation; Stochastic processes;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.898693

Filename

898693