The Envelope of Spectral Power for Stochastic Processes

Craig R. Shankwitz; Tryphon T. Georgiou

doi:10.1109/18.312191

The Envelope of Spectral Power for Stochastic Processes

Craig R. Shankwitz, Tryphon T. Georgiou

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope.

Original language	English (US)
Pages (from-to)	584-588
Number of pages	5
Journal	IEEE Transactions on Information Theory
Volume	40
Issue number	2
DOIs	https://doi.org/10.1109/18.312191
State	Published - Mar 1994

Bibliographical note

Funding Information:
Manuscript received April 11, 1991; revised January 18, 1992. This work was supported in part by the National Science Foundation and the Air Force Office for Scientific Research. The authors are with the Department of Electrical Engineering, University of Minnesota, Minneapolis, MN 55455 USA. IEEE Log Number 9400233.

Keywords

Maximum likelihood method
spectral estimation

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10.1109/18.312191

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abstract = "It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope.",

keywords = "Maximum likelihood method, spectral estimation",

author = "Shankwitz, {Craig R.} and Georgiou, {Tryphon T.}",

note = "Funding Information: Manuscript received April 11, 1991; revised January 18, 1992. This work was supported in part by the National Science Foundation and the Air Force Office for Scientific Research. The authors are with the Department of Electrical Engineering, University of Minnesota, Minneapolis, MN 55455 USA. IEEE Log Number 9400233.",

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AU - Georgiou, Tryphon T.

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N2 - It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope.

AB - It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope.

KW - Maximum likelihood method

KW - spectral estimation

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ER -

The Envelope of Spectral Power for Stochastic Processes

Abstract

Bibliographical note

Keywords

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