ASYMPTOTIC PROPERTIES OF THE HIGH-ORDER YULE-WALKER ESTIMATES OF SINUSOIDAL FREQUENCIES

被引：44

作者：

STOICA, P

SODERSTROM, T

TI, FN

机构：

[1] SHANDONG COLL LIGHT IND, DEPT MECH & ELECT ENGN, JINAN, PEOPLES R CHINA

[2] UNIV UPPSALA, DEPT TECHNOL,AUTOMAT CONTROL & SYST ANAL GRP, S-75121 UPPSALA, SWEDEN

来源：

IEEE TRANSACTIONS ON ACOUSTICS SPEECH AND SIGNAL PROCESSING | 1989年 / 37卷 / 11期

关键词：

D O I：

10.1109/29.46554

中图分类号：

O42 [声学];

学科分类号：

070206 ; 082403 ;

摘要：

The asymptotic properties of the high-order Yule-Walker (HOYW) estimator of sinusoidal frequencies are analyzed. An explicit formula for the covariance matrix of the HOYW frequency estimation error is derived. The effects on estimation accuracy of the number of YW equations, the model order, and a certain weighting matrix are investigated analytically. The optimally weighted HOYW estimator is described. The analysis presented together with the already existing empirical evidence provides enough motivation for the use of an overdetermined and high-order Yule-Walker estimator.

引用

页码：1721 / 1734

页数：14

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