Overdetermined Yule-Walker estimation of the frequencies of multiple sinusoids: Accuracy aspects

Signal Processing

Volumn 16, Issue 2, 1989, Pages 155-174

  Stoica, P ^a   Söderström, T ^b   Ti, F N ^b  

^a UNIVERSITY POLITEHNICA OF BUCHAREST   (Romania)

^b UPPSALA UNIVERSITY   (Sweden)

Author keywords

asymptotic distribution; Signal modelling; sinusoidal frequencies; spectrum estimation; system identification; Yule Walker methods

Indexed keywords

MATHEMATICAL TECHNIQUES--MATRIX ALGEBRA;

ASYMPTOTIC COVARIANCE MATRIX; CRAMER-RAO BOUND; ESTIMATION ERRORS; MULTIPLE SINUSOIDS; SINUSOIDAL FREQUENCIES; YULE-WALKER ESTIMATION;

SIGNAL THEORY;

EID: 0024606241     PISSN: 01651684     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1684(89)90094-7     Document Type: Article

References (26)

1. On the asymptotic distribution of the autocorrelations of a sample from a linear stochastic process
2. On the theoretical specification and sampling properties of auto-correlated time-series
3. High performance estimation—a new ARMA method
4. Spectral estimation An overdetermined rational model equation approach
5. Spectral estimation via the high-order Yule-Walker equations
6. The overdetermined recursive instrumental variable method
7. The modified Yule-Walker method for ARMA spectral estimation
8. Spectrum analysis—a modern perspective
9. Some Limit Theorems for Functionals of Stochastic Processes
10. An efficient linear method for ARMA spectral estimation
11. Proc. IEEE
12. Multiple tone parameter estimation from discrete-time observations
13. Optimization with Respect to a Covariance Sequence: Algorithmic Aspects and Some Applications
14. Asymptotic properties of high-order Yule-Walker estimates of frequencies of multiple sinusoids
15. On instrumental variable estimation of sinusoid frequencies and the parsimony principle
16. Approximate maximum likelihood approach of ARMA spectral estimation
17. Optimal instrumental variable multistep algorithms for the estimation of AR parameters of an ARMA process
18. Maximum likelihood estimation of the parameters of multiple sinusoids from noisy measurements
19. Optimal instrumental variable estimates of the AR parameters of an ARMA process
20. Estimation of frequencies of multiple sinusoids Making linear prediction perform like maximum likelihood