DocumentCode
3069504
Title
On the asymptotic normality of autoregressive spectral density estimates for the noise corrupted case
Author
Gingras, D.F.
Author_Institution
Naval Ocean Systems Center, San Diego, California
Volume
9
fYear
1984
fDate
30742
Firstpage
604
Lastpage
607
Abstract
Asymptotic statistics for spectral density estimates of noise corrupted autoregressive (AR) series are evaluated. The "high-order" Yule-Walker equation estimates of the autoregressive parameters are used to form a spectral density estimate. The estimate is shown to be a consistent asymptotically normal (CAN) estimate. An expression for the variance of the limiting distribution in terms of the AR process parameters and the noise variance is provided.
Keywords
Additive noise; Additive white noise; Autoregressive processes; Computer aided software engineering; Density functional theory; Equations; Oceans; Statistical distributions; Statistics; Tiles;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '84.
Type
conf
DOI
10.1109/ICASSP.1984.1172326
Filename
1172326
Link To Document