Spectral Estimation

Spectral Estimation

Text Book : Modern Spectral Estimation: Theory and Application by Steven M. Kay, 1988, Prentice Hall, Upper Saddle River, NJ.

Review of Probability, Statistics and Random Processes: Random process characterization—bias and variance—ergodicity. Classical Spectral Estimation: Periodogram—averaged periodogram—Blackman-Tukey spectral estimator—bias/variance trade-off.
Parametric Modeling
Autoregressive ,Moving Average Spectral Estimation, Autoregressive Moving Average Spectral Estimation
Minimum Variance Spectral-Estimation
Sinusoidal Parameter Estimation

Lectures Notes

Lecture 6 Lecture 7 Lecture 8 Lecture 9 Lecture 10
Lecture 11 Lecture 12 Lecture 13 Lecture 14 Lecture 15
Lecture 16 Lecture 17 Lecture 18 Lecture 19 Lecture 20
Lecture 21 Lecture 22 Lecture 23 Lecture 24 Lecture 25
Lecture 26 Lecture 27 Lecture 28 Lecture 29 Lecture 30
Lecture 31 Lecture 32 Lecture 33 Lecture 34 Lecture 35
Lecture 36
All Fourier Methods of Spectral Estimation

Reference

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