Spectral Estimation: An Overdetermined Rational Model Equation Approach.
Final rept. 30 Sep 81-15 Aug 82,
ARIZONA STATE UNIV TEMPE DEPT OF ELECTRICAL AND COMPUTER ENGINEERING
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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.
- Statistics and Probability