The Annals of Statistics

On the Behavior of a Capon-Type Spectral Density Estimator

Evangelos E. Ioannidis

Full-text: Open access

Abstract

In this paper we propose a Capon-type estimator for the spectrum of a stationary time series. This estimator may be viewed as an alternative to classical periodogram-based estimators. Its advantage is that it copes with the "leakage effect" by using implicitly automatic adaptive windowing. We show its asymptotic equivalence to a random variable which is a quadratic form in the observations, thus obtaining the asymptotic normality of the Capon estimator. We also study its asymptotic bias and variance.

Article information

Source
Ann. Statist., Volume 22, Number 4 (1994), 2089-2114.

Dates
First available in Project Euclid: 11 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176325773

Digital Object Identifier
doi:10.1214/aos/1176325773

Mathematical Reviews number (MathSciNet)
MR1329184

Zentralblatt MATH identifier
0831.62070

JSTOR
links.jstor.org

Subjects
Primary: 62M15: Spectral analysis
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62E20: Asymptotic distribution theory 62G05: Estimation

Keywords
Time series analysis spectral estimator high resolution estimator leakage effect Capon estimator maximum likelihood method (MLM) covariance matrix estimation

Citation

Ioannidis, Evangelos E. On the Behavior of a Capon-Type Spectral Density Estimator. Ann. Statist. 22 (1994), no. 4, 2089--2114. doi:10.1214/aos/1176325773. https://projecteuclid.org/euclid.aos/1176325773


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