Title :
Time-Varying Autoregressive (TVAR) Adaptive Order and Spectrum Estimation
Author :
Abramovich, Y.I. ; Spencer, N.K. ; Turley, M.D.E.
Author_Institution :
ISRD, SA
fDate :
Oct. 28 2005-Nov. 1 2005
Abstract :
For a set of T independent N-variate Gaussian training samples (T < N), we derive maximum the likelihood (ML) estimate of its time-varying autoregressive model of order m, TVAR(m), and method to estimate the order of an autoregressive (AR) model, regardless of its stationary or time-varying nature. For the estimated order m, we then use the TVAR(m) model parameters to calculate the ML time-frequency spectrum estimate
Keywords :
Gaussian processes; autoregressive processes; maximum likelihood estimation; time-frequency analysis; Gaussian training samples; maximum likelihood estimation; spectrum estimation; time-varying autoregressive adaptive order; Australia; Covariance matrix; Lakes; Maximum likelihood estimation; Parameter estimation; Spectral analysis; Time frequency analysis; Training data;
Conference_Titel :
Signals, Systems and Computers, 2005. Conference Record of the Thirty-Ninth Asilomar Conference on
Conference_Location :
Pacific Grove, CA
Print_ISBN :
1-4244-0131-3
DOI :
10.1109/ACSSC.2005.1599708
