Nematollahi, A. R. and Subba Rao, T. (2006) On the Spectral Density Estimation of Periodically Correlated (Cyclostationary) Time Series. [MIMS Preprint]
![[thumbnail of psrr11-2005.pdf]](https://eprints.maths.manchester.ac.uk/style/images/fileicons/application_pdf.png) |
PDF
psrr11-2005.pdf Download (282kB) |
Abstract
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 2010, the AMS's Mathematics Subject Classification > 62 Statistics |
| Depositing User: | Dr Peter Neal |
| Date Deposited: | 30 Mar 2006 |
| Last Modified: | 08 Nov 2017 18:18 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/203 |
Actions (login required)
 |
View Item |