Algorithms for Least-Squares Linear Prediction and Maximum Entropy Spectral Analysis,

Abstract

Experience with the maximum entropy method of spectral analysis suggests that it can produce inaccurate frequency estimates of short sample sinusoidal data, and it sometimes produces calculated values for the filter coefficients that are unduly contaminated by rounding errors. Consequently, this report develops an algorithm for solving the underlying least-squares problem directly, without forcing a Toeplitz structure on the model. This approach leads to more accurate frequency determination for short sample harmonic processes, and our algorithm is computationally efficient and numerically stable. The algorithm can also be applied to two other versions of the linear prediction problem. A FORTRAN program is supplied.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1978
Accession Number
ADA060420

Entities

People

  • I. Barrodale
  • R. E. Erickson

Organizations

  • University of Victoria

Tags

Communities of Interest

  • C4I
  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Accuracy
  • Adaptive Control Systems
  • Algorithms
  • Arithmetic
  • Computations
  • Computer Programming
  • Computers
  • Control Systems
  • Digital Signal Processing
  • Equations
  • Frequency
  • Numbers
  • Precision
  • Sequences
  • Signal Processing
  • Square Roots
  • White Noise

Readers

  • Approximation Theory.