ASYMPTOTIC VARIANCE OF THE AR SPECTRAL ESTIMATOR FOR NOISY SINUSOIDALDATA

Authors
HANDEL P STOICA P SODERSTROM T
Citation
P. Handel et al., ASYMPTOTIC VARIANCE OF THE AR SPECTRAL ESTIMATOR FOR NOISY SINUSOIDALDATA, Signal processing, 35(2), 1994, pp. 131-139
Citations number
NO
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
Signal processing → ACNP
ISSN journal
01651684
Volume
35
Issue
2
Year of publication
1994
Pages
131 - 139
Database
ISI
SICI code
0165-1684(1994)35:2<131:AVOTAS>2.0.ZU;2-R
Abstract
In this paper the autoregressive (AR) spectral estimator is analyzed i n the case of noisy sinusoidal data. An expression for the large-sampl e normalized variance is derived and studied in detail for increasing model order. In particular, a very simple formula is derived for the a symptotic (in both number of observed data and model order) normalized variance, which confirms a conjecture made by Sakai.