A modified Yule-Walker equations method for harmonic analysis in unknown colored noise

The techniques for harmonic analysis in colored noise have attracted much more attentions in the last two years. This paper presents a novel approach, namely modified Yule -Walker equations method, to harmonic analysis in unknown colored noise, based on the fact that an ARMA model can be fitted to the time sequence consisting of harmonics plus a MA noise process. It shows that the present method can do without any prior knowledge about the noise model. New fixed-order fast algorithms, including both nonadaptive and adaptive situations, are presented for efficient solution of MYW equations. The performance of ours, FFT and maximum entropy are illustrated by simulation results.