On the efficient implementation of the Capon spectral estimator

We present an efficient implementation of the Amplitude Spectrum Capon (ASC) estimator. The implementation is based on the FFT and an efficient computation of the Cholesky-factor for the inverse covariance matrix. The Cholesky-factor is obtained from the linear prediction coefficients as computed by the modified covariance method. The implementation is significantly simpler than previous implementations, and it will yield spectral estimates of a similar quality as these. A short discussion on the differences between different Capon estimators is also included.