2006.48: On the Spectral Density Estimation of Periodically Correlated (Cyclostationary) Time Series
2006.48: A. R. Nematollahi and T. Subba Rao (2006) On the Spectral Density Estimation of Periodically Correlated (Cyclostationary) Time Series.
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We consider the estimation of the spectral density matrix of a periodically correlated (PC) time series (also known as cyclostationary time series). We use the well known relation between the spectral density matrix of a periodically correlated time series and a stationary vector time series (Gladyshev, 1961). The spectral matrix of the stationary vector time series is estimated using the eigenvalue decomposition of block Toeplitz matrices. The method of estimation is illustrated with simulated and real time series.
|Item Type:||MIMS Preprint|
|Uncontrolled Keywords:||periodically correlated (cyclostationary) processes, Capon’s estimate, high resolution estimate, eigenvalue decomposition, block-Toeplitz matrix.|
|Subjects:||MSC 2000 > 62 Statistics|
|Deposited By:||Dr Peter Neal|
|Deposited On:||30 March 2006|