ONLINE SPECTRAL ESTIMATION OF NONSTATIONARY TIME-SERIES BASED ON AR MODEL PARAMETER-ESTIMATION AND ORDER SELECTION WITH A FORGETTING FACTOR

A new method for on-line spectral estimation of nonstationary time series via autoregressive (AR) model construction is proposed. The method consists of on-line parameter estimation based on the recursive least squares ladder estimation algorithm-with a forgetting factor and on-line order determination based on AIC with some modifications. The effectiveness of the proposed method is demonstrated by computer simulation study and applying to the actual data of electroencephalogram (EEG).