Spectral Estimation: An Overdetermined Rational Model Equation Approach.
Abstract
In seeking rational models of time series, the concept of approximating second order statistical relationships (i.e., the Yule-Walker equations) is often explicitly or implicitly invoked. The parameters of the hypothesized rational model are typically selected so that these relationships 'best represent' a set of autocorrelation lag estimates computed from time series observations. One of the objectives of this report will be that of establishing this fundamental approach to the generation of rational models. An examination of many popular contemporary spectral estimation methods reveals that the parameters of a hypothesized rational model are estimated upon using a 'minimal' set of Yule-Walker equation evaluations. This results in an undesired parameter hypersensitivity and a subsequent decrease in estimation performance.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 15, 1982
- Accession Number
- ADA123122
Entities
People
- James A. Cadzow
Organizations
- Arizona State University