DocumentCode
3005500
Title
Asymptotic properties of high-order Yule-Walker estimates of frequencies of multiple sinusoids
Author
Stoica, P. ; Friedlander, B. ; Söderström, T.
Author_Institution
Institutul Polytechnic Bucuresti, Bucharest, Romania
Volume
11
fYear
1986
fDate
31503
Firstpage
609
Lastpage
612
Abstract
The asymptotic properties of the high-order Yule-Walker (HOYW) estimator of sinusoidal frequencies are analyzed. An explicit formula for the covariance matrix of the HOYW frequency estimation error is derived. The effects of the number of equations, the model order and a certain weighting matrix are investigated analytically. The optimally weighted HOYW estimator is described. The analysis motivates using an overdetermined and high-order Yule-Walker estimator.
Keywords
Automatic control; Contracts; Control system analysis; Covariance matrix; Difference equations; Frequency estimation; Matrix decomposition; Milling machines; Polynomials; USA Councils;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '86.
Type
conf
DOI
10.1109/ICASSP.1986.1169013
Filename
1169013
Link To Document