Positive Definite Spectral Estimate and Stable Correlation Recursion for Multivariate Linear Predictive Spectral Analysis.
NAVAL UNDERWATER SYSTEMS CENTER NEW LONDON CONN NEW LONDON LAB
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The questions regarding a positive definite spectral estimate and a stable correlation recursion are answered in the affirmative for the particular choice of weighting recommended in the above reference. A modified and updated FORTRAN program for multivariate spectral analysis, which incorporates calculation of the correlation matrices via recursion, and the aliased correlation matrices via a fast Fourier transform FFT, are included.
- Statistics and Probability