The Envelope of Spectral Power for Stochastic Processes

Craig R. Shankwitz, Tryphon T. Georgiou

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)584-588
Number of pages5
JournalIEEE Transactions on Information Theory
Volume40
Issue number2
DOIs
StatePublished - Mar 1994

Keywords

  • Maximum likelihood method
  • spectral estimation

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