Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies

Author

Stoica, Petre ; Söderström, Torsten ; Ti, Funan

Author_Institution

Dept. of Autom. Control, Polytech. Inst. of Bucharest, Romania

Volume

37

Issue

11

fYear

1989

fDate

11/1/1989 12:00:00 AM

Firstpage

1721

Lastpage

1734

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 on estimation accuracy of the number of YW equations, the model order, and a certain weighting matrix are investigated analytically. The optimally weighted HOYW estimator is described. The analysis presented together with the already existing empirical evidence provides enough motivation for the use of an overdetermined and high-order Yule-Walker estimator

Keywords

parameter estimation; signal processing; spectral analysis; asymptotic properties; covariance matrix; frequency estimation error; high-order Yule-Walker estimates; model order; signal processing; sinusoidal frequencies; weighting matrix; Automatic control; Control system analysis; Covariance matrix; Electrical equipment industry; Equations; Estimation theory; Frequency estimation; Frequency measurement; Helium; Signal analysis;

fLanguage

English

Journal_Title

Acoustics, Speech and Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

0096-3518

Type

jour

DOI

10.1109/29.46554

Filename

46554