Title :
Optimally smoothed periodogram
Author :
Stoica, Petre ; Sundin, Tomas
Author_Institution :
Dept. of Syst. & Control, Uppsala Univ., Sweden
Abstract :
Locally smoothing the periodogram yields one of the most successful methods for non-parametric spectral estimation. Nevertheless no much guideline was available for choosing the window parameters and span for smoothing. Here we derive the window parameters and span that minimize an asymptotically unbiased estimate of the spectral estimation error variance. The so-obtained optimally smoothed periodogram is shown to outperform the commonly-used uniformly smoothed periodogram.
Keywords :
mean square error methods; nonparametric statistics; optimisation; smoothing methods; spectral analysis; asymptotically unbiased estimate minimisation; integrated mean square error; local smoothing; nonparametric spectral estimation; optimally smoothed periodogram; spectral estimation error variance; uniformly smoothed periodogram; window parameters; window span; Constraint optimization; Control systems; Estimation error; Frequency; Guidelines; Kernel; Mean square error methods; Narrowband; Smoothing methods; White noise;
Conference_Titel :
Signals, Systems, and Computers, 1999. Conference Record of the Thirty-Third Asilomar Conference on
Conference_Location :
Pacific Grove, CA, USA
Print_ISBN :
0-7803-5700-0
DOI :
10.1109/ACSSC.1999.831876
